Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kymera Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kymera Therapeutics, Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 52.6%, MDD -41.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 23.4%, drawdown -87.5%).
Sharpe leader (same as main): Supertrend — CAGR 52.6%, MDD -41.7%, Sharpe 1.03, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 29.2%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 52.6%, MDD -41.7%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.1 |
52.6% | -41.7% | 1.03 | 1.26 | 12.8x | 19 | 51% |
| Parabolic SAR step=0.045, maxStep=0.16 |
39.5% | -59.3% | 0.88 | 0.67 | 7.4x | 183 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=69 |
39.2% | -60.3% | 0.83 | 0.65 | 7.3x | 15 | 71% |
| ROC 모멘텀 n=31, threshold=0.06 |
35.2% | -50.5% | 0.83 | 0.70 | 6.2x | 80 | 43% |
| MACD fast=14, slow=20, signal=13 |
31.5% | -57.0% | 0.81 | 0.55 | 5.2x | 91 | 48% |
| SMA 크로스오버 fast=35, slow=39 |
31.7% | -57.8% | 0.77 | 0.55 | 5.2x | 56 | 50% |
| ADX / DI 방향성 period=13, threshold=19 |
26.1% | -65.9% | 0.71 | 0.40 | 4.0x | 87 | 41% |
| 볼린저 밴드 돌파 n=20, k=1.6 |
23.3% | -55.2% | 0.69 | 0.42 | 3.5x | 65 | 35% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=2.9 |
20.7% | -42.3% | 0.68 | 0.49 | 3.1x | 19 | 27% |
| EMA 크로스오버 fast=52, slow=153 |
16.0% | -56.9% | 0.55 | 0.28 | 2.4x | 9 | 53% |
| Buy and hold | 23.4% | -87.5% | 0.65 | 0.27 | 3.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)