Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xeris Biopharma Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xeris Biopharma Holdings, 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 3.7%, MDD -11.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.8%, drawdown -96.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.1%, MDD -48.3%, Sharpe 0.60, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.8%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 3.7%, MDD -11.0%, exposure 2%).
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=19, k=1.9 |
18.1% | -48.3% | 0.60 | 0.37 | 3.8x | 68 | 27% |
| SMA 크로스오버 fast=24, slow=33 |
16.8% | -67.7% | 0.57 | 0.25 | 3.5x | 77 | 52% |
| ADX / DI 방향성 period=16, threshold=10 |
14.2% | -67.5% | 0.53 | 0.21 | 2.9x | 127 | 54% |
| MACD fast=10, slow=24, signal=10 |
14.7% | -69.2% | 0.52 | 0.21 | 3.0x | 140 | 52% |
| Parabolic SAR step=0.02, maxStep=0.26 |
10.0% | -65.5% | 0.46 | 0.15 | 2.2x | 166 | 49% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.8 |
3.7% | -11.0% | 0.42 | 0.34 | 1.3x | 2 | 2% |
| EMA 크로스오버 fast=42, slow=110 |
8.8% | -59.3% | 0.41 | 0.15 | 2.0x | 13 | 38% |
| Donchian 채널 돌파 entryN=93, exitN=68 |
7.8% | -54.9% | 0.39 | 0.14 | 1.8x | 9 | 32% |
| ROC 모멘텀 n=27, threshold=-0.02 |
5.1% | -74.7% | 0.37 | 0.07 | 1.5x | 133 | 53% |
| Supertrend period=26, mult=3.8 |
2.6% | -90.0% | 0.31 | 0.03 | 1.2x | 31 | 44% |
| Buy and hold | -10.8% | -96.2% | 0.26 | -0.11 | 0.4x | 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 19-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 19-day middle average