Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kymera Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kymera Therapeutics, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 50.0%, MDD -41.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.9%, drawdown -87.5%).
Sharpe leader (same as main): Supertrend — CAGR 50.0%, MDD -41.7%, Sharpe 1.00, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 50.0%, MDD -41.7%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.1 |
50.0% | -41.7% | 1.00 | 1.20 | 11.1x | 19 | 50% |
| ROC 모멘텀 n=31, threshold=0.06 |
38.1% | -50.5% | 0.87 | 0.75 | 6.8x | 73 | 43% |
| Parabolic SAR step=0.045, maxStep=0.16 |
38.8% | -59.3% | 0.87 | 0.65 | 7.0x | 180 | 49% |
| MACD fast=14, slow=20, signal=13 |
31.9% | -57.0% | 0.81 | 0.56 | 5.2x | 90 | 48% |
| Donchian 채널 돌파 entryN=23, exitN=69 |
36.6% | -60.3% | 0.80 | 0.61 | 6.4x | 15 | 70% |
| SMA 크로스오버 fast=35, slow=39 |
29.1% | -57.8% | 0.73 | 0.50 | 4.6x | 55 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=2.9 |
21.6% | -42.3% | 0.70 | 0.51 | 3.2x | 17 | 27% |
| 볼린저 밴드 돌파 n=20, k=1.6 |
23.5% | -55.2% | 0.69 | 0.43 | 3.5x | 64 | 35% |
| ADX / DI 방향성 period=13, threshold=19 |
24.2% | -65.9% | 0.68 | 0.37 | 3.6x | 85 | 40% |
| EMA 크로스오버 fast=52, slow=153 |
13.6% | -56.9% | 0.50 | 0.24 | 2.1x | 9 | 52% |
| Buy and hold | 20.9% | -87.5% | 0.62 | 0.24 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)