Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cytokinetics, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Cytokinetics, Incorporated. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -24.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.1%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -73.9%, Sharpe 0.32, 50% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.6%, MDD -41.1%, exposure 5%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 2.8%, MDD -24.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=58 |
3.0% | -73.9% | 0.32 | 0.04 | 1.9x | 99 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=25, mult=3.6 |
4.6% | -41.1% | 0.28 | 0.11 | 2.7x | 28 | 5% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
2.8% | -24.9% | 0.27 | 0.11 | 1.8x | 14 | 3% |
| Donchian 채널 돌파 entryN=97, exitN=26 |
0.1% | -77.9% | 0.20 | 0.00 | 1.0x | 43 | 25% |
| Supertrend period=22, mult=2.3 |
-3.8% | -85.0% | 0.18 | -0.04 | 0.4x | 196 | 43% |
| EMA 크로스오버 fast=62, slow=100 |
-4.2% | -90.0% | 0.17 | -0.05 | 0.4x | 37 | 43% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-6.2% | -94.3% | 0.14 | -0.07 | 0.2x | 282 | 50% |
| ADX / DI 방향성 period=35, threshold=17 |
-0.6% | -65.3% | 0.14 | -0.01 | 0.9x | 73 | 23% |
| ROC 모멘텀 n=100, threshold=0.06 |
-5.1% | -86.7% | 0.13 | -0.06 | 0.3x | 205 | 38% |
| MACD fast=11, slow=39, signal=17 |
-7.4% | -92.7% | 0.12 | -0.08 | 0.2x | 324 | 52% |
| Buy and hold | -1.1% | -97.1% | 0.34 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 32-day average falls below the 58-day average