Trend-Following Backtester · Guide · backtest 한국어
equity · US
ALX Oncology Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of ALX Oncology Holdings Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 34.4%, MDD -50.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -36.5%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.8%, MDD -53.6%, Sharpe 0.80, 21% exposure.
Return/drawdown alternative: Supertrend — CAGR is 71.3%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 34.4%, MDD -50.8%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.7 |
34.8% | -53.6% | 0.80 | 0.65 | 6.1x | 12 | 21% |
| Supertrend period=33, mult=3.3 |
34.4% | -50.8% | 0.78 | 0.68 | 6.0x | 21 | 33% |
| ROC 모멘텀 n=22, threshold=0.05 |
30.7% | -65.6% | 0.71 | 0.47 | 5.0x | 96 | 37% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=1.4 |
28.9% | -59.9% | 0.71 | 0.48 | 4.6x | 30 | 30% |
| EMA 크로스오버 fast=8, slow=27 |
28.4% | -58.1% | 0.69 | 0.49 | 4.5x | 43 | 43% |
| Parabolic SAR step=0.005, maxStep=0.2 |
28.6% | -74.4% | 0.69 | 0.39 | 4.6x | 51 | 44% |
| Donchian 채널 돌파 entryN=24, exitN=13 |
24.6% | -54.0% | 0.65 | 0.46 | 3.8x | 29 | 34% |
| MACD fast=21, slow=39, signal=21 |
22.5% | -85.0% | 0.64 | 0.26 | 3.4x | 36 | 52% |
| ADX / DI 방향성 period=13, threshold=20 |
9.6% | -75.4% | 0.46 | 0.13 | 1.7x | 74 | 37% |
| SMA 크로스오버 fast=21, slow=218 |
5.4% | -59.9% | 0.35 | 0.09 | 1.4x | 5 | 28% |
| Buy and hold | -36.5% | -99.6% | 0.02 | -0.37 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 47-day middle average