Trend-Following Backtester · Guide · backtest 한국어

equity · US

ImmunityBio, Inc. backtest

10 trend-following strategies were compared on the full daily history of ImmunityBio, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 53.2%, MDD -60.1%).

Data 2015-07-28 ~ 2026-07-31daily bars 2,769 (11.0 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -13.4%, drawdown -97.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 53.2%, MDD -60.1%, Sharpe 0.94, 16% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 66.6%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 53.2%, MDD -60.1%, exposure 16%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=26, k=2.7
53.2%-60.1%0.940.89109.8x3416%
MACD
fast=20, slow=26, signal=37
33.4%-85.9%0.740.3923.8x9251%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=29, mult=3.1
30.3%-68.6%0.710.4418.4x2412%
ADX / DI 방향성
period=12, threshold=31
29.6%-77.1%0.700.3817.4x5818%
Donchian 채널 돌파
entryN=80, exitN=8
26.7%-83.3%0.670.3213.5x2412%
EMA 크로스오버
fast=49, slow=109
24.1%-68.2%0.630.3510.7x930%
ROC 모멘텀
n=23, threshold=0.07
21.8%-82.5%0.620.268.8x22232%
SMA 크로스오버
fast=14, slow=229
19.9%-68.3%0.580.297.3x1532%
Supertrend
period=24, mult=5
0.6%-89.8%0.380.011.1x3233%
Parabolic SAR
step=0.02, maxStep=0.18
-10.2%-94.5%0.24-0.110.3x22743%
Buy and hold-13.4%-97.1%0.39-0.140.2x1100%
0.1 1x 10x 100x 2016 2018 2020 2022 2024 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -49% -73% -97% 2016 2018 2020 2022 2024 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -60.1% (2021-02-22 → 2023-04-18), recovered after 802 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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