Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xeris Biopharma Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xeris Biopharma Holdings, 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 3.7%, MDD -11.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.2%, drawdown -96.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.1%, MDD -48.3%, Sharpe 0.58, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.3%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 3.7%, MDD -11.0%, exposure 2%).
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=19, k=1.9 |
17.1% | -48.3% | 0.58 | 0.35 | 3.7x | 69 | 27% |
| SMA 크로스오버 fast=24, slow=33 |
17.0% | -67.7% | 0.57 | 0.25 | 3.6x | 78 | 52% |
| MACD fast=10, slow=24, signal=10 |
14.2% | -69.2% | 0.51 | 0.20 | 3.0x | 142 | 52% |
| ADX / DI 방향성 period=16, threshold=10 |
12.4% | -67.5% | 0.50 | 0.18 | 2.6x | 131 | 55% |
| Parabolic SAR step=0.02, maxStep=0.26 |
9.9% | -65.5% | 0.46 | 0.15 | 2.2x | 167 | 50% |
| EMA 크로스오버 fast=42, slow=110 |
9.3% | -59.3% | 0.42 | 0.16 | 2.1x | 13 | 39% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.8 |
3.7% | -11.0% | 0.41 | 0.34 | 1.3x | 2 | 2% |
| Donchian 채널 돌파 entryN=93, exitN=68 |
8.2% | -54.9% | 0.40 | 0.15 | 1.9x | 9 | 33% |
| ROC 모멘텀 n=27, threshold=-0.02 |
4.0% | -74.7% | 0.36 | 0.05 | 1.4x | 139 | 53% |
| Supertrend period=26, mult=3.8 |
1.0% | -90.0% | 0.28 | 0.01 | 1.1x | 33 | 44% |
| Buy and hold | -10.2% | -96.2% | 0.26 | -0.11 | 0.4x | 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 19-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 19-day middle average