Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vera Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vera Therapeutics, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.7%, MDD -51.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.7%, drawdown -84.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.7%, MDD -51.3%, Sharpe 0.76, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 28.7%, MDD -51.3%, exposure 20%).
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=76, exitN=13 |
28.7% | -51.3% | 0.76 | 0.56 | 3.8x | 14 | 20% |
| MACD fast=18, slow=55, signal=19 |
25.8% | -74.6% | 0.70 | 0.35 | 3.4x | 39 | 48% |
| Parabolic SAR step=0.01, maxStep=0.36 |
18.6% | -82.9% | 0.64 | 0.22 | 2.5x | 65 | 45% |
| SMA 크로스오버 fast=42, slow=75 |
23.3% | -73.8% | 0.64 | 0.32 | 3.0x | 20 | 45% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=17, mult=2.3 |
13.9% | -34.0% | 0.63 | 0.41 | 2.0x | 10 | 5% |
| ADX / DI 방향성 period=29, threshold=15 |
22.2% | -59.8% | 0.63 | 0.37 | 2.9x | 32 | 42% |
| ROC 모멘텀 n=77, threshold=-0.02 |
22.5% | -63.3% | 0.62 | 0.35 | 2.9x | 60 | 48% |
| Supertrend period=32, mult=1.1 |
17.2% | -66.1% | 0.55 | 0.26 | 2.3x | 109 | 45% |
| EMA 크로스오버 fast=19, slow=39 |
9.1% | -82.8% | 0.51 | 0.11 | 1.6x | 26 | 50% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
10.6% | -68.1% | 0.45 | 0.16 | 1.7x | 57 | 31% |
| Buy and hold | 22.7% | -84.9% | 0.69 | 0.27 | 2.9x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 13 days