Trend-Following Backtester · Guide · backtest 한국어
equity · US
Taysha Gene Therapies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Taysha Gene Therapies, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.6%, drawdown -98.1%).
Sharpe leader (same as main): MACD — CAGR 18.2%, MDD -73.7%, Sharpe 0.54, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.6%, MDD -65.4%, exposure 42%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 39.8%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 6.4%, MDD -52.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=24, signal=14 |
18.2% | -73.7% | 0.54 | 0.25 | 2.7x | 84 | 54% |
| SMA 크로스오버 fast=10, slow=27 |
21.6% | -65.4% | 0.53 | 0.33 | 3.2x | 59 | 42% |
| ADX / DI 방향성 period=9, threshold=22 |
9.2% | -76.1% | 0.42 | 0.12 | 1.7x | 112 | 34% |
| Donchian 채널 돌파 entryN=29, exitN=35 |
7.2% | -75.8% | 0.40 | 0.09 | 1.5x | 17 | 44% |
| ROC 모멘텀 n=145, threshold=0.06 |
6.7% | -64.4% | 0.40 | 0.10 | 1.5x | 33 | 39% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.4% | -84.9% | 0.37 | 0.02 | 1.1x | 70 | 42% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
6.4% | -52.9% | 0.34 | 0.12 | 1.4x | 10 | 19% |
| EMA 크로스오버 fast=38, slow=128 |
1.0% | -74.4% | 0.30 | 0.01 | 1.1x | 11 | 35% |
| Supertrend period=12, mult=4.7 |
-11.7% | -85.0% | 0.15 | -0.14 | 0.5x | 15 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.7 |
-6.6% | -62.0% | 0.12 | -0.11 | 0.7x | 28 | 25% |
| Buy and hold | -21.6% | -98.1% | 0.30 | -0.22 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/24) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line