Trend-Following Backtester · Guide · backtest 한국어
equity · US
Krystal Biotech, Inc. backtest
10 trend-following strategies were compared on the full daily history of Krystal Biotech, 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 47.8%, drawdown -53.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 39.0%, MDD -46.6%, Sharpe 0.89, 66% 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=56, slow=131 |
39.0% | -46.6% | 0.89 | 0.84 | 18.5x | 13 | 66% |
| EMA 크로스오버 fast=70, slow=149 |
31.2% | -56.9% | 0.77 | 0.55 | 11.1x | 11 | 75% |
| ROC 모멘텀 n=111, threshold=-0.07 |
30.6% | -58.2% | 0.76 | 0.53 | 10.7x | 57 | 77% |
| Donchian 채널 돌파 entryN=79, exitN=75 |
25.0% | -69.6% | 0.68 | 0.36 | 7.2x | 11 | 71% |
| ADX / DI 방향성 period=13, threshold=33 |
6.9% | -19.4% | 0.49 | 0.36 | 1.8x | 26 | 13% |
| Supertrend period=9, mult=5 |
9.0% | -75.2% | 0.42 | 0.12 | 2.2x | 21 | 71% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
5.7% | -47.2% | 0.33 | 0.12 | 1.6x | 26 | 28% |
| MACD fast=15, slow=56, signal=13 |
1.2% | -77.4% | 0.23 | 0.02 | 1.1x | 120 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=2.3 |
2.2% | -56.0% | 0.22 | 0.04 | 1.2x | 44 | 31% |
| Parabolic SAR step=0.015, maxStep=0.04 |
-5.5% | -72.9% | 0.07 | -0.08 | 0.6x | 105 | 54% |
| Buy and hold | 47.8% | -53.4% | 0.85 | 0.90 | 31.9x | 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 56-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 56-day average falls below the 131-day average