Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phathom Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Phathom Pharmaceuticals, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -32.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -14.2%, drawdown -95.8%).
Sharpe leader (same as main): Supertrend — CAGR 23.8%, MDD -64.3%, Sharpe 0.63, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.1%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 6.5%, MDD -32.8%, exposure 11%).
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=7, mult=5 |
23.8% | -64.3% | 0.63 | 0.37 | 4.2x | 12 | 54% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
6.5% | -32.8% | 0.41 | 0.20 | 1.5x | 4 | 11% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.8 |
4.1% | -32.8% | 0.29 | 0.13 | 1.3x | 8 | 16% |
| ADX / DI 방향성 period=32, threshold=9 |
-2.3% | -79.9% | 0.25 | -0.03 | 0.9x | 68 | 45% |
| Donchian 채널 돌파 entryN=21, exitN=66 |
-5.6% | -79.2% | 0.25 | -0.07 | 0.7x | 19 | 61% |
| EMA 크로스오버 fast=54, slow=118 |
-1.6% | -63.9% | 0.19 | -0.03 | 0.9x | 8 | 41% |
| SMA 크로스오버 fast=30, slow=186 |
-7.0% | -66.9% | 0.07 | -0.10 | 0.6x | 14 | 39% |
| Parabolic SAR step=0.03, maxStep=0.42 |
-14.2% | -86.0% | 0.07 | -0.17 | 0.4x | 200 | 48% |
| ROC 모멘텀 n=83, threshold=-0.03 |
-14.4% | -71.2% | 0.00 | -0.20 | 0.3x | 64 | 48% |
| MACD fast=5, slow=41, signal=13 |
-20.0% | -92.8% | -0.01 | -0.22 | 0.2x | 148 | 52% |
| Buy and hold | -14.2% | -95.8% | 0.27 | -0.15 | 0.4x | 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) — 7-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)