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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.5%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.5%, MDD -65.4%, Sharpe 0.56, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 46.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 6.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=27 |
24.5% | -65.4% | 0.56 | 0.37 | 3.6x | 58 | 42% |
| MACD fast=11, slow=24, signal=14 |
19.4% | -73.7% | 0.55 | 0.26 | 2.8x | 82 | 53% |
| ADX / DI 방향성 period=9, threshold=22 |
9.4% | -76.1% | 0.43 | 0.12 | 1.7x | 112 | 34% |
| ROC 모멘텀 n=145, threshold=0.06 |
7.4% | -64.4% | 0.41 | 0.12 | 1.5x | 32 | 38% |
| Donchian 채널 돌파 entryN=29, exitN=35 |
7.8% | -75.8% | 0.40 | 0.10 | 1.6x | 17 | 43% |
| Parabolic SAR step=0.01, maxStep=0.32 |
3.0% | -84.9% | 0.38 | 0.04 | 1.2x | 68 | 41% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
6.5% | -52.9% | 0.34 | 0.12 | 1.4x | 10 | 19% |
| EMA 크로스오버 fast=38, slow=128 |
1.5% | -74.4% | 0.30 | 0.02 | 1.1x | 11 | 35% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.7 |
-4.7% | -57.2% | 0.16 | -0.08 | 0.8x | 26 | 25% |
| Supertrend period=12, mult=4.7 |
-11.4% | -85.0% | 0.16 | -0.13 | 0.5x | 15 | 47% |
| Buy and hold | -21.5% | -98.1% | 0.30 | -0.22 | 0.2x | 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 10-day average price crosses above the 27-day average
- Sell — Sell (to cash) when the 10-day average falls below the 27-day average