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 29.3%, MDD -50.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.5%, drawdown -99.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.3%, MDD -50.8%, Sharpe 0.85, 25% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 37.8%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 29.3%, MDD -50.8%, exposure 25%).
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 |
29.3% | -50.8% | 0.85 | 0.58 | 14.2x | 43 | 25% |
| 볼린저 밴드 돌파 n=17, k=2.2 |
24.9% | -62.1% | 0.66 | 0.40 | 9.9x | 78 | 22% |
| Donchian 채널 돌파 entryN=13, exitN=33 |
19.8% | -87.2% | 0.61 | 0.23 | 6.5x | 43 | 65% |
| SMA 크로스오버 fast=19, slow=68 |
17.6% | -78.2% | 0.59 | 0.22 | 5.3x | 43 | 47% |
| Supertrend period=28, mult=1.7 |
11.1% | -89.1% | 0.44 | 0.12 | 3.0x | 125 | 45% |
| EMA 크로스오버 fast=65, slow=123 |
10.0% | -74.5% | 0.43 | 0.13 | 2.7x | 19 | 41% |
| ADX / DI 방향성 period=31, threshold=14 |
7.5% | -84.7% | 0.43 | 0.09 | 2.1x | 53 | 39% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=1.2 |
11.0% | -64.6% | 0.43 | 0.17 | 2.9x | 84 | 15% |
| MACD fast=8, slow=57, signal=18 |
12.2% | -96.4% | 0.41 | 0.13 | 3.3x | 152 | 50% |
| Parabolic SAR step=0.03, maxStep=0.18 |
1.4% | -97.3% | 0.33 | 0.01 | 1.2x | 274 | 48% |
| Buy and hold | -8.5% | -99.1% | 0.36 | -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