Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xencor, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xencor, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.3%, MDD -39.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.7%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -51.1%, Sharpe 0.51, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 9.3%, MDD -39.9%, exposure 16%).
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=56, slow=89 |
13.3% | -51.1% | 0.51 | 0.26 | 4.9x | 43 | 51% |
| Donchian 채널 돌파 entryN=92, exitN=9 |
9.3% | -39.9% | 0.49 | 0.23 | 3.1x | 39 | 16% |
| Supertrend period=8, mult=4.1 |
10.5% | -59.2% | 0.45 | 0.18 | 3.6x | 49 | 48% |
| MACD fast=18, slow=39, signal=14 |
10.1% | -76.5% | 0.44 | 0.13 | 3.4x | 153 | 51% |
| 볼린저 밴드 돌파 n=18, k=1.9 |
8.1% | -65.5% | 0.41 | 0.12 | 2.7x | 143 | 30% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=2.7 |
6.8% | -53.3% | 0.39 | 0.13 | 2.3x | 41 | 23% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.7% | -82.9% | 0.28 | 0.04 | 1.6x | 194 | 50% |
| ROC 모멘텀 n=85, threshold=0.1 |
3.4% | -67.0% | 0.26 | 0.05 | 1.5x | 119 | 36% |
| ADX / DI 방향성 period=21, threshold=25 |
1.3% | -66.9% | 0.17 | 0.02 | 1.2x | 45 | 13% |
| EMA 크로스오버 fast=22, slow=217 |
-1.3% | -83.7% | 0.14 | -0.01 | 0.9x | 35 | 43% |
| Buy and hold | 9.7% | -87.0% | 0.44 | 0.11 | 3.3x | 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 56-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 56-day average falls below the 89-day average