Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spyre Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Spyre Therapeutics, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.9%, MDD -50.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.3%, drawdown -99.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.9%, MDD -50.8%, Sharpe 0.82, 26% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 37.1%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 27.9%, MDD -50.8%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=145, threshold=0.29 |
27.9% | -50.8% | 0.82 | 0.55 | 12.9x | 43 | 26% |
| 볼린저 밴드 돌파 n=17, k=2.2 |
24.7% | -62.1% | 0.65 | 0.40 | 9.9x | 78 | 22% |
| Donchian 채널 돌파 entryN=13, exitN=33 |
18.6% | -87.2% | 0.60 | 0.21 | 5.9x | 44 | 65% |
| SMA 크로스오버 fast=19, slow=68 |
16.3% | -78.2% | 0.57 | 0.21 | 4.8x | 43 | 47% |
| Supertrend period=28, mult=1.7 |
10.4% | -89.1% | 0.43 | 0.12 | 2.8x | 126 | 45% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=1.2 |
10.9% | -64.6% | 0.43 | 0.17 | 2.9x | 84 | 15% |
| ADX / DI 방향성 period=31, threshold=14 |
6.9% | -84.7% | 0.42 | 0.08 | 2.0x | 54 | 39% |
| EMA 크로스오버 fast=65, slow=123 |
8.9% | -74.5% | 0.41 | 0.12 | 2.4x | 19 | 42% |
| MACD fast=8, slow=57, signal=18 |
12.1% | -96.4% | 0.41 | 0.13 | 3.3x | 152 | 49% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-0.3% | -97.3% | 0.30 | -0.00 | 1.0x | 278 | 48% |
| Buy and hold | -9.3% | -99.1% | 0.35 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 145-day return is greater than 29%
- Sell — Sell when the 145-day return drops to 29% or below