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.. 5 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 29.2%, MDD -51.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.7%, drawdown -84.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.2%, MDD -51.3%, Sharpe 0.76, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 29.2%, 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 |
29.2% | -51.3% | 0.76 | 0.57 | 3.8x | 14 | 20% |
| MACD fast=18, slow=55, signal=19 |
28.3% | -74.6% | 0.73 | 0.38 | 3.7x | 38 | 48% |
| ROC 모멘텀 n=77, threshold=-0.02 |
23.6% | -63.3% | 0.64 | 0.37 | 3.0x | 58 | 48% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=17, mult=2.3 |
14.1% | -34.0% | 0.63 | 0.42 | 2.0x | 10 | 5% |
| ADX / DI 방향성 period=29, threshold=15 |
22.6% | -59.8% | 0.63 | 0.38 | 2.9x | 32 | 42% |
| SMA 크로스오버 fast=42, slow=75 |
22.5% | -73.8% | 0.62 | 0.31 | 2.9x | 18 | 45% |
| Parabolic SAR step=0.01, maxStep=0.36 |
17.4% | -82.9% | 0.62 | 0.21 | 2.3x | 64 | 45% |
| Supertrend period=32, mult=1.1 |
18.7% | -66.1% | 0.58 | 0.28 | 2.4x | 106 | 45% |
| EMA 크로스오버 fast=19, slow=39 |
9.2% | -82.8% | 0.52 | 0.11 | 1.6x | 26 | 51% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
11.6% | -68.1% | 0.47 | 0.17 | 1.8x | 56 | 31% |
| Buy and hold | 21.7% | -84.9% | 0.69 | 0.26 | 2.8x | 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