Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zymeworks Inc. backtest
10 trend-following strategies were compared on the full daily history of Zymeworks Inc.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.2%, MDD -44.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.1%, drawdown -91.8%).
Sharpe leader (same as main): Supertrend — CAGR 24.1%, MDD -50.8%, Sharpe 0.72, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 21.2%, MDD -44.3%, exposure 44%).
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=28, mult=4.6 |
24.1% | -50.8% | 0.72 | 0.47 | 7.5x | 25 | 59% |
| Donchian 채널 돌파 entryN=79, exitN=37 |
21.2% | -44.3% | 0.70 | 0.48 | 6.0x | 17 | 44% |
| SMA 크로스오버 fast=51, slow=131 |
20.5% | -62.8% | 0.65 | 0.33 | 5.7x | 18 | 55% |
| ROC 모멘텀 n=109, threshold=0.03 |
20.1% | -65.9% | 0.64 | 0.30 | 5.5x | 79 | 54% |
| EMA 크로스오버 fast=24, slow=154 |
15.6% | -68.5% | 0.56 | 0.23 | 3.9x | 17 | 56% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
10.7% | -64.8% | 0.46 | 0.17 | 2.6x | 43 | 41% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=24, mult=3 |
6.0% | -32.6% | 0.41 | 0.19 | 1.7x | 21 | 11% |
| ADX / DI 방향성 period=38, threshold=12 |
5.9% | -53.8% | 0.34 | 0.11 | 1.7x | 79 | 43% |
| Parabolic SAR step=0.01, maxStep=0.26 |
4.1% | -69.4% | 0.30 | 0.06 | 1.5x | 139 | 51% |
| MACD fast=18, slow=66, signal=17 |
0.0% | -80.0% | 0.23 | 0.00 | 1.0x | 107 | 53% |
| Buy and hold | 9.1% | -91.8% | 0.45 | 0.10 | 2.3x | 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) — 28-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)