Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mirum Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mirum Pharmaceuticals, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 30.4%, MDD -50.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 32.4%, drawdown -63.8%).
Sharpe leader (same as main): MACD — CAGR 37.5%, MDD -54.5%, Sharpe 0.77, 46% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 30.4%, MDD -50.3%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=29, signal=20 |
37.5% | -54.5% | 0.77 | 0.69 | 9.6x | 80 | 46% |
| Donchian 채널 돌파 entryN=14, exitN=123 |
37.4% | -63.8% | 0.75 | 0.59 | 9.6x | 7 | 90% |
| SMA 크로스오버 fast=7, slow=171 |
22.7% | -50.3% | 0.70 | 0.45 | 4.3x | 20 | 64% |
| ROC 모멘텀 n=13, threshold=-0.09 |
31.9% | -57.4% | 0.69 | 0.55 | 7.2x | 123 | 82% |
| Parabolic SAR step=0.005, maxStep=0.08 |
30.4% | -50.3% | 0.68 | 0.60 | 6.6x | 60 | 49% |
| Supertrend period=22, mult=2.4 |
28.6% | -46.6% | 0.66 | 0.61 | 6.0x | 46 | 48% |
| EMA 크로스오버 fast=47, slow=169 |
20.8% | -56.0% | 0.64 | 0.37 | 3.8x | 11 | 70% |
| 볼린저 밴드 돌파 n=22, k=1.8 |
21.2% | -44.2% | 0.56 | 0.48 | 3.9x | 66 | 35% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=20, mult=1.3 |
12.1% | -67.6% | 0.42 | 0.18 | 2.3x | 56 | 39% |
| ADX / DI 방향성 period=17, threshold=17 |
2.7% | -73.6% | 0.26 | 0.04 | 1.2x | 90 | 35% |
| Buy and hold | 32.4% | -63.8% | 0.70 | 0.51 | 7.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/29) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line