Trend-Following Backtester · Guide · backtest 한국어
equity · US
CytomX Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of CytomX Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -76.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.3%, drawdown -98.7%).
Sharpe leader (same as main): Supertrend — CAGR 12.8%, MDD -83.1%, Sharpe 0.47, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.1%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 3.8%, MDD -76.4%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.2 |
12.8% | -83.1% | 0.47 | 0.15 | 3.8x | 48 | 36% |
| Donchian 채널 돌파 entryN=47, exitN=68 |
3.6% | -91.1% | 0.36 | 0.04 | 1.5x | 20 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=22, mult=1.4 |
5.9% | -77.3% | 0.34 | 0.08 | 1.9x | 74 | 22% |
| EMA 크로스오버 fast=30, slow=71 |
-0.4% | -90.4% | 0.30 | -0.00 | 1.0x | 34 | 36% |
| 볼린저 밴드 돌파 n=12, k=2.3 |
3.8% | -76.4% | 0.30 | 0.05 | 1.5x | 84 | 16% |
| ROC 모멘텀 n=116, threshold=0.01 |
-1.2% | -86.4% | 0.29 | -0.01 | 0.9x | 74 | 40% |
| SMA 크로스오버 fast=6, slow=149 |
-1.5% | -89.3% | 0.29 | -0.02 | 0.8x | 36 | 35% |
| MACD fast=19, slow=26, signal=23 |
-0.7% | -93.6% | 0.29 | -0.01 | 0.9x | 100 | 52% |
| ADX / DI 방향성 period=12, threshold=27 |
2.6% | -89.9% | 0.27 | 0.03 | 1.3x | 70 | 19% |
| Parabolic SAR step=0.02, maxStep=0.04 |
-2.1% | -94.7% | 0.27 | -0.02 | 0.8x | 110 | 41% |
| Buy and hold | -13.3% | -98.7% | 0.28 | -0.13 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)