Trend-Following Backtester · Guide · backtest 한국어
equity · US
Halozyme Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Halozyme Therapeutics, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -76.2%, Sharpe 0.52, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=69, slow=219 |
13.9% | -76.2% | 0.52 | 0.18 | 18.5x | 29 | 56% |
| Donchian 채널 돌파 entryN=65, exitN=97 |
11.3% | -70.4% | 0.46 | 0.16 | 11.2x | 27 | 64% |
| Supertrend period=18, mult=2.4 |
8.3% | -70.3% | 0.39 | 0.12 | 6.0x | 197 | 51% |
| ROC 모멘텀 n=110, threshold=-0.03 |
8.1% | -78.9% | 0.39 | 0.10 | 5.7x | 221 | 61% |
| EMA 크로스오버 fast=54, slow=198 |
7.5% | -83.2% | 0.38 | 0.09 | 5.1x | 29 | 57% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
5.3% | -41.4% | 0.37 | 0.13 | 3.2x | 25 | 13% |
| MACD fast=11, slow=28, signal=16 |
7.0% | -83.5% | 0.36 | 0.08 | 4.6x | 343 | 51% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=2.1 |
5.9% | -63.8% | 0.33 | 0.09 | 3.6x | 119 | 34% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.8% | -93.0% | 0.27 | 0.03 | 1.8x | 402 | 51% |
| ADX / DI 방향성 period=38, threshold=27 |
1.2% | -34.0% | 0.16 | 0.04 | 1.3x | 15 | 6% |
| Buy and hold | 15.4% | -74.3% | 0.54 | 0.21 | 24.9x | 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 69-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 69-day average falls below the 219-day average