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.
Results by strategy
10 of 10 beat buy and hold (CAGR -12.4%, drawdown -98.7%).
Sharpe leader (same as main): Supertrend — CAGR 16.6%, MDD -83.1%, Sharpe 0.52, 37% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
16.6% | -83.1% | 0.52 | 0.20 | 5.3x | 45 | 37% |
| ADX / DI 방향성 period=11, threshold=30 |
6.1% | -85.2% | 0.33 | 0.07 | 1.9x | 60 | 18% |
| Donchian 채널 돌파 entryN=65, exitN=72 |
0.1% | -92.0% | 0.32 | 0.00 | 1.0x | 18 | 46% |
| SMA 크로스오버 fast=9, slow=142 |
-0.4% | -90.5% | 0.30 | -0.00 | 1.0x | 32 | 36% |
| MACD fast=22, slow=28, signal=18 |
-0.7% | -93.6% | 0.29 | -0.01 | 0.9x | 108 | 52% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=1.5 |
0.7% | -84.6% | 0.28 | 0.01 | 1.1x | 52 | 28% |
| 볼린저 밴드 돌파 n=63, k=0.9 |
-1.5% | -89.3% | 0.25 | -0.02 | 0.9x | 58 | 31% |
| ROC 모멘텀 n=51, threshold=-0.03 |
-7.5% | -93.2% | 0.24 | -0.08 | 0.4x | 156 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.6% | -96.7% | 0.22 | -0.05 | 0.6x | 80 | 40% |
| EMA 크로스오버 fast=26, slow=91 |
-9.3% | -90.0% | 0.17 | -0.10 | 0.3x | 32 | 34% |
| Buy and hold | -12.4% | -98.7% | 0.29 | -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)