Trend-Following Backtester · Guide · backtest 한국어
equity · US
Praxis Precision Medicines, Inc. backtest
10 trend-following strategies were compared on the full daily history of Praxis Precision Medicines, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.1%, MDD -31.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.2%, drawdown -98.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.8%, MDD -36.8%, Sharpe 0.92, 13% exposure.
CAGR reference leader: Supertrend — CAGR 63.7%, MDD -64.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.0%p higher than buy and hold, while drawdown improves by 61.9%p (CAGR 23.1%, MDD -31.9%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=3.1 |
31.8% | -36.8% | 0.92 | 0.86 | 4.9x | 6 | 13% |
| Supertrend period=12, mult=2.8 |
63.7% | -64.6% | 0.83 | 0.99 | 17.3x | 29 | 53% |
| ROC 모멘텀 n=148, threshold=0.21 |
57.9% | -56.6% | 0.79 | 1.02 | 14.1x | 30 | 35% |
| SMA 크로스오버 fast=9, slow=23 |
53.9% | -59.9% | 0.77 | 0.90 | 12.1x | 62 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=3.8 |
23.1% | -31.9% | 0.77 | 0.72 | 3.3x | 6 | 12% |
| EMA 크로스오버 fast=7, slow=20 |
50.1% | -73.2% | 0.74 | 0.68 | 10.5x | 56 | 52% |
| MACD fast=8, slow=70, signal=19 |
45.8% | -78.5% | 0.71 | 0.58 | 8.9x | 76 | 50% |
| ADX / DI 방향성 period=13, threshold=24 |
43.0% | -56.5% | 0.67 | 0.76 | 7.9x | 54 | 28% |
| Parabolic SAR step=0.02, maxStep=0.24 |
35.9% | -58.0% | 0.64 | 0.62 | 5.9x | 122 | 50% |
| Donchian 채널 돌파 entryN=96, exitN=78 |
29.9% | -76.7% | 0.59 | 0.39 | 4.5x | 6 | 37% |
| Buy and hold | -5.2% | -98.7% | 0.53 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 44-day middle average