Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tango Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tango Therapeutics, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 46.7%, MDD -41.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.3%, drawdown -93.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 76.2%, MDD -48.8%, Sharpe 1.08, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 62.0%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 46.7%, MDD -41.5%, exposure 44%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=25, exitN=32 |
76.2% | -48.8% | 1.08 | 1.56 | 29.8x | 14 | 50% |
| ROC 모멘텀 n=62, threshold=-0.02 |
67.7% | -49.8% | 1.01 | 1.36 | 22.2x | 43 | 52% |
| ADX / DI 방향성 period=48, threshold=15 |
51.1% | -49.2% | 0.98 | 1.04 | 11.9x | 11 | 50% |
| Supertrend period=26, mult=3.8 |
46.7% | -41.5% | 0.98 | 1.12 | 9.9x | 18 | 44% |
| EMA 크로스오버 fast=28, slow=30 |
51.0% | -50.3% | 0.97 | 1.01 | 11.8x | 18 | 48% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=13, mult=0.9 |
52.0% | -53.7% | 0.90 | 0.97 | 12.3x | 34 | 40% |
| 볼린저 밴드 돌파 n=28, k=3.1 |
30.1% | -43.4% | 0.87 | 0.69 | 4.8x | 20 | 21% |
| SMA 크로스오버 fast=19, slow=66 |
38.9% | -54.5% | 0.84 | 0.71 | 7.2x | 18 | 45% |
| Parabolic SAR step=0.035, maxStep=0.16 |
40.8% | -60.5% | 0.77 | 0.67 | 7.8x | 170 | 48% |
| MACD fast=10, slow=23, signal=9 |
13.9% | -79.2% | 0.49 | 0.18 | 2.2x | 122 | 48% |
| Buy and hold | 14.3% | -93.6% | 0.57 | 0.15 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 25 days
- Sell — Sell when price breaks below the lowest low of the last 32 days