Trend-Following Backtester · Guide · backtest 한국어
equity · US
Twist Bioscience Corporation backtest
10 trend-following strategies were compared on the full daily history of Twist Bioscience Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.0%, MDD -39.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 27.3%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 39.8%, MDD -59.2%, Sharpe 0.90, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 24.0%, MDD -39.7%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=192 |
39.8% | -59.2% | 0.90 | 0.67 | 13.4x | 7 | 46% |
| ROC 모멘텀 n=145, threshold=-0.03 |
35.6% | -65.4% | 0.84 | 0.54 | 10.6x | 57 | 51% |
| Donchian 채널 돌파 entryN=109, exitN=27 |
24.0% | -39.7% | 0.76 | 0.60 | 5.3x | 11 | 24% |
| ADX / DI 방향성 period=38, threshold=12 |
28.0% | -63.1% | 0.76 | 0.44 | 6.8x | 45 | 39% |
| EMA 크로스오버 fast=53, slow=127 |
27.6% | -77.4% | 0.73 | 0.36 | 6.6x | 13 | 48% |
| Parabolic SAR step=0.02, maxStep=0.04 |
24.7% | -69.7% | 0.67 | 0.35 | 5.5x | 86 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=1.8 |
21.8% | -58.8% | 0.67 | 0.37 | 4.6x | 35 | 35% |
| Supertrend period=20, mult=4.9 |
21.8% | -64.5% | 0.64 | 0.34 | 4.6x | 21 | 45% |
| 볼린저 밴드 돌파 n=36, k=1.2 |
20.9% | -56.4% | 0.64 | 0.37 | 4.3x | 56 | 38% |
| MACD fast=17, slow=54, signal=15 |
9.2% | -83.3% | 0.43 | 0.11 | 2.0x | 88 | 51% |
| Buy and hold | 27.3% | -94.5% | 0.70 | 0.29 | 6.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 55-day average falls below the 192-day average