Trend-Following Backtester · Guide · backtest 한국어
equity · US
Janux Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Janux Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.7%, MDD -22.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.8%, MDD -73.0%, Sharpe 0.53, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 23.7%, MDD -22.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=136 |
25.8% | -73.0% | 0.53 | 0.35 | 3.3x | 11 | 35% |
| ADX / DI 방향성 period=28, threshold=32 |
6.1% | -33.6% | 0.44 | 0.18 | 1.4x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=28, mult=3.8 |
24.2% | -29.4% | 0.44 | 0.82 | 3.1x | 4 | 6% |
| MACD fast=16, slow=37, signal=12 |
11.4% | -82.4% | 0.43 | 0.14 | 1.8x | 65 | 51% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
23.7% | -22.3% | 0.43 | 1.06 | 3.0x | 4 | 2% |
| ROC 모멘텀 n=168, threshold=0.07 |
11.5% | -63.6% | 0.40 | 0.18 | 1.8x | 21 | 23% |
| Supertrend period=12, mult=4.5 |
1.8% | -84.9% | 0.34 | 0.02 | 1.1x | 15 | 43% |
| Parabolic SAR step=0.02, maxStep=0.38 |
0.5% | -81.5% | 0.34 | 0.01 | 1.0x | 123 | 48% |
| Donchian 채널 돌파 entryN=97, exitN=10 |
7.0% | -68.4% | 0.33 | 0.10 | 1.4x | 11 | 10% |
| EMA 크로스오버 fast=6, slow=140 |
1.1% | -68.4% | 0.32 | 0.02 | 1.1x | 21 | 28% |
| Buy and hold | -6.1% | -83.1% | 0.37 | -0.07 | 0.7x | 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 136-day average
- Sell — Sell (to cash) when the 48-day average falls below the 136-day average