Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rhythm Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rhythm Pharmaceuticals, Inc.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.4%, MDD -21.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.8%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.4%, MDD -21.6%, Sharpe 0.76, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.4%, MDD -83.6%, exposure 84%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 70.5%p (CAGR 17.4%, MDD -21.6%, exposure 3%).
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=15, k=3.4 |
17.4% | -21.6% | 0.76 | 0.80 | 4.2x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.2 |
18.9% | -31.1% | 0.75 | 0.61 | 4.7x | 16 | 9% |
| Donchian 채널 돌파 entryN=4, exitN=45 |
29.4% | -83.6% | 0.71 | 0.35 | 9.9x | 41 | 84% |
| Supertrend period=16, mult=4.8 |
21.9% | -54.4% | 0.63 | 0.40 | 5.8x | 23 | 56% |
| MACD fast=9, slow=32, signal=19 |
17.4% | -75.6% | 0.55 | 0.23 | 4.2x | 144 | 47% |
| ROC 모멘텀 n=79, threshold=-0.01 |
15.6% | -57.5% | 0.53 | 0.27 | 3.6x | 81 | 53% |
| SMA 크로스오버 fast=17, slow=53 |
15.0% | -81.3% | 0.52 | 0.18 | 3.5x | 39 | 49% |
| ADX / DI 방향성 period=32, threshold=26 |
11.3% | -33.2% | 0.50 | 0.34 | 2.6x | 8 | 10% |
| EMA 크로스오버 fast=6, slow=121 |
13.7% | -72.7% | 0.50 | 0.19 | 3.1x | 43 | 52% |
| Parabolic SAR step=0.03, maxStep=0.16 |
13.6% | -78.6% | 0.49 | 0.17 | 3.1x | 236 | 48% |
| Buy and hold | 17.8% | -92.1% | 0.57 | 0.19 | 4.3x | 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 15-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 15-day middle average