Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vaxcyte, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vaxcyte, Inc.. 4 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 11.8%, MDD -32.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.5%, drawdown -76.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -32.9%, Sharpe 0.61, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -44.6%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 43.3%p (CAGR 11.8%, MDD -32.9%, exposure 18%).
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=23, k=2.5 |
11.8% | -32.9% | 0.61 | 0.36 | 2.0x | 26 | 18% |
| MACD fast=17, slow=81, signal=22 |
16.5% | -45.9% | 0.59 | 0.36 | 2.5x | 37 | 50% |
| SMA 크로스오버 fast=36, slow=193 |
17.9% | -44.6% | 0.57 | 0.40 | 2.7x | 7 | 60% |
| EMA 크로스오버 fast=46, slow=173 |
16.5% | -45.3% | 0.54 | 0.36 | 2.6x | 7 | 55% |
| Supertrend period=25, mult=2.5 |
13.0% | -63.9% | 0.50 | 0.20 | 2.1x | 44 | 50% |
| ADX / DI 방향성 period=31, threshold=10 |
12.3% | -54.6% | 0.50 | 0.23 | 2.0x | 59 | 46% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=2 |
6.4% | -17.7% | 0.46 | 0.36 | 1.5x | 18 | 9% |
| Donchian 채널 돌파 entryN=107, exitN=51 |
8.9% | -31.7% | 0.42 | 0.28 | 1.7x | 10 | 39% |
| ROC 모멘텀 n=37, threshold=-0.01 |
6.5% | -49.3% | 0.35 | 0.13 | 1.5x | 125 | 54% |
| Parabolic SAR step=0.02, maxStep=0.16 |
4.5% | -61.7% | 0.31 | 0.07 | 1.3x | 136 | 52% |
| Buy and hold | 12.5% | -76.2% | 0.50 | 0.16 | 2.1x | 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 23-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average