Trend-Following Backtester · Guide · backtest 한국어
equity · US
Travere Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Travere Therapeutics, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 34.1%, MDD -53.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.5%, drawdown -85.4%).
Sharpe leader (same as main): Supertrend — CAGR 34.1%, MDD -53.8%, Sharpe 0.83, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 34.1%, MDD -53.8%, exposure 50%).
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=35, mult=4.7 |
34.1% | -53.8% | 0.83 | 0.63 | 57.4x | 33 | 50% |
| Donchian 채널 돌파 entryN=53, exitN=22 |
25.8% | -45.8% | 0.77 | 0.56 | 23.8x | 37 | 35% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
18.2% | -37.3% | 0.69 | 0.49 | 10.1x | 19 | 19% |
| SMA 크로스오버 fast=39, slow=103 |
22.4% | -59.4% | 0.65 | 0.38 | 16.3x | 33 | 52% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=3.2 |
16.4% | -48.1% | 0.63 | 0.34 | 8.2x | 27 | 21% |
| MACD fast=37, slow=53, signal=23 |
19.9% | -68.3% | 0.61 | 0.29 | 12.2x | 97 | 51% |
| EMA 크로스오버 fast=10, slow=63 |
18.7% | -75.7% | 0.58 | 0.25 | 10.7x | 75 | 53% |
| ADX / DI 방향성 period=20, threshold=28 |
11.3% | -37.2% | 0.55 | 0.30 | 4.4x | 29 | 19% |
| ROC 모멘텀 n=39, threshold=-0.04 |
16.5% | -82.3% | 0.54 | 0.20 | 8.2x | 219 | 62% |
| Parabolic SAR step=0.01, maxStep=0.1 |
15.2% | -77.6% | 0.45 | 0.20 | 7.0x | 191 | 54% |
| Buy and hold | 31.5% | -85.4% | 0.65 | 0.37 | 44.0x | 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) — 35-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)