Trend-Following Backtester · Guide · backtest 한국어
equity · US
ImmunityBio, Inc. backtest
10 trend-following strategies were compared on the full daily history of ImmunityBio, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 52.7%, MDD -60.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -97.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 52.7%, MDD -60.1%, Sharpe 0.94, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 65.2%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 52.7%, MDD -60.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=2.7 |
52.7% | -60.1% | 0.94 | 0.88 | 109.8x | 34 | 16% |
| MACD fast=20, slow=26, signal=37 |
33.4% | -85.9% | 0.74 | 0.39 | 24.4x | 93 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=29, mult=3.1 |
30.0% | -68.6% | 0.71 | 0.44 | 18.4x | 24 | 12% |
| ADX / DI 방향성 period=12, threshold=31 |
29.3% | -77.1% | 0.69 | 0.38 | 17.4x | 58 | 18% |
| Donchian 채널 돌파 entryN=80, exitN=8 |
26.5% | -83.3% | 0.66 | 0.32 | 13.5x | 24 | 12% |
| EMA 크로스오버 fast=49, slow=109 |
25.0% | -68.2% | 0.64 | 0.37 | 11.9x | 9 | 31% |
| ROC 모멘텀 n=23, threshold=0.07 |
21.3% | -82.5% | 0.61 | 0.26 | 8.5x | 223 | 32% |
| SMA 크로스오버 fast=14, slow=229 |
20.8% | -68.3% | 0.59 | 0.30 | 8.1x | 15 | 32% |
| Supertrend period=24, mult=5 |
0.6% | -89.8% | 0.38 | 0.01 | 1.1x | 32 | 33% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-10.9% | -94.5% | 0.23 | -0.11 | 0.3x | 231 | 43% |
| Buy and hold | -12.5% | -97.1% | 0.40 | -0.13 | 0.2x | 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 26-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 26-day middle average