Trend-Following Backtester · Guide · backtest 한국어
equity · US
Praxis Precision Medicines, Inc. backtest
10 trend-following strategies were compared on the full daily history of Praxis Precision Medicines, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.7%, MDD -31.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -98.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.2%, MDD -36.8%, Sharpe 0.91, 13% exposure.
CAGR reference leader: Supertrend — CAGR 66.1%, MDD -64.6%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.2%p higher than buy and hold, while drawdown improves by 61.9%p (CAGR 22.7%, MDD -31.9%, exposure 12%).
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=44, k=3.1 |
31.2% | -36.8% | 0.91 | 0.85 | 4.9x | 6 | 13% |
| Supertrend period=12, mult=2.8 |
66.1% | -64.6% | 0.85 | 1.02 | 19.7x | 29 | 54% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=3.8 |
22.7% | -31.9% | 0.76 | 0.71 | 3.3x | 6 | 12% |
| ROC 모멘텀 n=148, threshold=0.21 |
53.5% | -56.6% | 0.76 | 0.95 | 12.4x | 34 | 36% |
| SMA 크로스오버 fast=9, slow=23 |
51.6% | -59.9% | 0.75 | 0.86 | 11.5x | 63 | 53% |
| EMA 크로스오버 fast=7, slow=20 |
47.7% | -73.2% | 0.72 | 0.65 | 9.9x | 57 | 52% |
| MACD fast=8, slow=70, signal=19 |
43.5% | -78.5% | 0.70 | 0.55 | 8.4x | 77 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
36.8% | -58.0% | 0.65 | 0.64 | 6.3x | 124 | 50% |
| ADX / DI 방향성 period=13, threshold=24 |
39.8% | -56.5% | 0.65 | 0.70 | 7.2x | 55 | 28% |
| Donchian 채널 돌파 entryN=96, exitN=78 |
28.1% | -76.7% | 0.57 | 0.37 | 4.3x | 7 | 38% |
| Buy and hold | -3.0% | -98.7% | 0.55 | -0.03 | 0.8x | 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 44-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 44-day middle average