Trend-Following Backtester · Guide · backtest 한국어
equity · US
IDEAYA Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of IDEAYA Biosciences, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.7%, MDD -39.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 19.1%, drawdown -74.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.7%, MDD -39.6%, Sharpe 0.69, 57% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 25.7%, MDD -39.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=158, threshold=0.07 |
25.7% | -39.6% | 0.69 | 0.65 | 5.3x | 45 | 57% |
| Donchian 채널 돌파 entryN=104, exitN=47 |
22.0% | -39.6% | 0.69 | 0.56 | 4.2x | 9 | 47% |
| EMA 크로스오버 fast=34, slow=188 |
21.2% | -44.2% | 0.63 | 0.48 | 4.1x | 9 | 60% |
| SMA 크로스오버 fast=11, slow=28 |
20.9% | -62.9% | 0.61 | 0.33 | 4.0x | 67 | 53% |
| ADX / DI 방향성 period=22, threshold=15 |
19.8% | -57.6% | 0.60 | 0.34 | 3.7x | 59 | 51% |
| Supertrend period=13, mult=3.3 |
19.5% | -57.0% | 0.59 | 0.34 | 3.7x | 27 | 57% |
| MACD fast=15, slow=50, signal=24 |
19.5% | -74.2% | 0.59 | 0.26 | 3.7x | 81 | 49% |
| 볼린저 밴드 돌파 n=41, k=1.2 |
12.1% | -70.0% | 0.47 | 0.17 | 2.3x | 49 | 44% |
| Parabolic SAR step=0.01, maxStep=0.08 |
10.7% | -75.7% | 0.45 | 0.14 | 2.1x | 101 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=2 |
3.1% | -56.9% | 0.26 | 0.05 | 1.3x | 31 | 17% |
| Buy and hold | 19.1% | -74.6% | 0.59 | 0.26 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 158-day return is greater than 7%
- Sell — Sell when the 158-day return drops to 7% or below