Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tyra Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tyra Biosciences, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -13.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.5%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 41.2%, MDD -46.8%, Sharpe 0.91, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 44.7%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 11.0%, MDD -13.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=81 |
41.2% | -46.8% | 0.91 | 0.88 | 5.7x | 12 | 47% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
24.1% | -26.9% | 0.88 | 0.89 | 3.0x | 6 | 15% |
| ADX / DI 방향성 period=34, threshold=29 |
11.0% | -13.5% | 0.87 | 0.82 | 1.7x | 2 | 6% |
| Supertrend period=16, mult=3.4 |
32.4% | -58.1% | 0.76 | 0.56 | 4.1x | 16 | 60% |
| EMA 크로스오버 fast=41, slow=64 |
25.8% | -46.8% | 0.70 | 0.55 | 3.2x | 8 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=2.9 |
17.8% | -47.2% | 0.64 | 0.38 | 2.3x | 10 | 24% |
| ROC 모멘텀 n=60, threshold=0.09 |
20.3% | -48.4% | 0.62 | 0.42 | 2.5x | 74 | 39% |
| Donchian 채널 돌파 entryN=109, exitN=51 |
18.2% | -45.3% | 0.60 | 0.40 | 2.3x | 6 | 43% |
| MACD fast=20, slow=72, signal=22 |
4.2% | -69.5% | 0.37 | 0.06 | 1.2x | 40 | 52% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-7.0% | -73.7% | 0.14 | -0.10 | 0.7x | 80 | 49% |
| Buy and hold | -3.5% | -83.2% | 0.36 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 26-day average falls below the 81-day average