Trend-Following Backtester · Guide · backtest 한국어
equity · US
AnaptysBio, Inc. backtest
10 trend-following strategies were compared on the full daily history of AnaptysBio, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.9%, MDD -45.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 18.3%, drawdown -92.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.7%, MDD -68.0%, Sharpe 0.75, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 23.9%, MDD -45.1%, exposure 20%).
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=48, slow=53 |
31.7% | -68.0% | 0.75 | 0.47 | 14.1x | 85 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3.7 |
23.9% | -45.1% | 0.67 | 0.53 | 7.8x | 14 | 20% |
| Parabolic SAR step=0.02, maxStep=0.2 |
25.6% | -77.7% | 0.65 | 0.33 | 8.9x | 202 | 53% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
23.9% | -58.9% | 0.64 | 0.41 | 7.8x | 36 | 36% |
| ROC 모멘텀 n=137, threshold=0.01 |
22.5% | -72.6% | 0.61 | 0.31 | 7.0x | 63 | 51% |
| EMA 크로스오버 fast=4, slow=108 |
19.6% | -72.6% | 0.57 | 0.27 | 5.6x | 49 | 50% |
| Donchian 채널 돌파 entryN=32, exitN=67 |
19.4% | -69.2% | 0.57 | 0.28 | 5.5x | 21 | 62% |
| ADX / DI 방향성 period=10, threshold=21 |
18.7% | -74.1% | 0.55 | 0.25 | 5.2x | 166 | 37% |
| Supertrend period=13, mult=3.7 |
17.7% | -66.5% | 0.53 | 0.27 | 4.8x | 38 | 52% |
| MACD fast=18, slow=73, signal=30 |
10.5% | -87.8% | 0.48 | 0.12 | 2.6x | 70 | 52% |
| Buy and hold | 18.3% | -92.1% | 0.62 | 0.20 | 5.0x | 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 48-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 48-day average falls below the 53-day average