Trend-Following Backtester · Guide · backtest 한국어
equity · US
X4 Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of X4 Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -2.8%, MDD -41.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -52.4%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -43.9%, Sharpe 0.35, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 58.8%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR -2.8%, MDD -41.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=2.3 |
6.4% | -43.9% | 0.35 | 0.15 | 1.7x | 18 | 8% |
| MACD fast=49, slow=74, signal=16 |
-22.6% | -96.4% | 0.18 | -0.23 | 0.1x | 48 | 55% |
| Supertrend period=25, mult=4.7 |
-12.1% | -90.1% | 0.11 | -0.13 | 0.3x | 15 | 38% |
| 볼린저 밴드 돌파 n=58, k=3.1 |
-4.8% | -67.5% | 0.05 | -0.07 | 0.7x | 12 | 12% |
| Donchian 채널 돌파 entryN=82, exitN=18 |
-5.8% | -53.7% | 0.03 | -0.11 | 0.6x | 12 | 15% |
| ROC 모멘텀 n=16, threshold=0.24 |
-8.4% | -74.9% | 0.00 | -0.11 | 0.5x | 98 | 11% |
| SMA 크로스오버 fast=42, slow=84 |
-14.2% | -81.0% | -0.00 | -0.18 | 0.3x | 26 | 31% |
| ADX / DI 방향성 period=38, threshold=23 |
-2.8% | -41.0% | -0.01 | -0.07 | 0.8x | 4 | 4% |
| EMA 크로스오버 fast=66, slow=272 |
-4.8% | -48.0% | -0.22 | -0.10 | 0.7x | 2 | 1% |
| Parabolic SAR step=0.06, maxStep=0.16 |
-41.5% | -99.5% | -0.44 | -0.42 | 0.0x | 305 | 42% |
| Buy and hold | -52.4% | -100.0% | 0.02 | -0.52 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average