Trend-Following Backtester · Guide · backtest 한국어
equity · US
Syndax Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Syndax Pharmaceuticals, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 4.5%, drawdown -79.0%).
Sharpe leader (same as main): MACD — CAGR 13.8%, MDD -71.7%, Sharpe 0.50, 48% 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=39, signal=10 |
13.8% | -71.7% | 0.50 | 0.19 | 3.9x | 134 | 48% |
| Supertrend period=19, mult=1.8 |
8.0% | -76.1% | 0.39 | 0.11 | 2.2x | 122 | 49% |
| Donchian 채널 돌파 entryN=2, exitN=26 |
1.5% | -78.0% | 0.33 | 0.02 | 1.2x | 103 | 84% |
| SMA 크로스오버 fast=59, slow=169 |
3.1% | -67.1% | 0.30 | 0.05 | 1.4x | 18 | 47% |
| ROC 모멘텀 n=99, threshold=0.1 |
-0.3% | -69.2% | 0.21 | -0.00 | 1.0x | 84 | 38% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-5.1% | -83.1% | 0.16 | -0.06 | 0.6x | 192 | 48% |
| ADX / DI 방향성 period=27, threshold=11 |
-6.1% | -84.6% | 0.10 | -0.07 | 0.5x | 116 | 46% |
| EMA 크로스오버 fast=56, slow=216 |
-7.5% | -79.9% | 0.09 | -0.09 | 0.4x | 21 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=1.5 |
-9.3% | -77.7% | -0.02 | -0.12 | 0.4x | 74 | 34% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
-3.0% | -59.2% | -0.08 | -0.05 | 0.7x | 16 | 8% |
| Buy and hold | 4.5% | -79.0% | 0.41 | 0.06 | 1.6x | 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 (15/39) crosses above its 10-day signal line
- Sell — Sell when the MACD line crosses back below the signal line