Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vaxcyte, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vaxcyte, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.9%, MDD -44.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -76.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.9%, MDD -44.6%, Sharpe 0.60, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 19.9%, MDD -44.6%, exposure 61%).
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=36, slow=193 |
19.9% | -44.6% | 0.60 | 0.45 | 3.1x | 7 | 61% |
| MACD fast=17, slow=81, signal=22 |
16.6% | -45.9% | 0.60 | 0.36 | 2.6x | 39 | 50% |
| EMA 크로스오버 fast=46, slow=173 |
18.5% | -45.3% | 0.58 | 0.41 | 2.9x | 7 | 56% |
| 볼린저 밴드 돌파 n=23, k=2.5 |
10.8% | -32.9% | 0.57 | 0.33 | 1.9x | 27 | 18% |
| ADX / DI 방향성 period=31, threshold=10 |
14.3% | -54.6% | 0.55 | 0.26 | 2.3x | 59 | 46% |
| Supertrend period=25, mult=2.5 |
12.9% | -63.9% | 0.50 | 0.20 | 2.1x | 45 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=2 |
6.3% | -17.7% | 0.45 | 0.36 | 1.5x | 18 | 9% |
| Donchian 채널 돌파 entryN=107, exitN=51 |
8.7% | -31.7% | 0.42 | 0.28 | 1.7x | 10 | 39% |
| ROC 모멘텀 n=37, threshold=-0.01 |
8.4% | -49.3% | 0.40 | 0.17 | 1.7x | 125 | 55% |
| Parabolic SAR step=0.02, maxStep=0.16 |
6.3% | -61.7% | 0.35 | 0.10 | 1.5x | 138 | 53% |
| Buy and hold | 14.4% | -76.2% | 0.53 | 0.19 | 2.3x | 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 36-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 36-day average falls below the 193-day average