Trend-Following Backtester · Guide · backtest 한국어
equity · AU
PYC Therapeutics Limited backtest
10 trend-following strategies were compared on the full daily history of PYC Therapeutics Limited. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -49.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.5%, drawdown -98.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.5%, MDD -68.7%, Sharpe 0.48, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 3.1%, MDD -49.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=20 |
12.5% | -68.7% | 0.48 | 0.18 | 12.3x | 34 | 21% |
| SMA 크로스오버 fast=21, slow=201 |
7.3% | -89.9% | 0.40 | 0.08 | 4.5x | 35 | 39% |
| EMA 크로스오버 fast=30, slow=202 |
6.8% | -87.4% | 0.38 | 0.08 | 4.1x | 33 | 38% |
| Donchian 채널 돌파 entryN=102, exitN=46 |
7.7% | -81.1% | 0.38 | 0.09 | 4.8x | 33 | 30% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.3% | -88.2% | 0.34 | 0.04 | 2.0x | 127 | 46% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
3.1% | -49.0% | 0.27 | 0.06 | 1.9x | 14 | 2% |
| Supertrend period=14, mult=4.7 |
-6.2% | -97.6% | 0.22 | -0.06 | 0.3x | 89 | 56% |
| MACD fast=19, slow=53, signal=20 |
-8.1% | -97.5% | 0.18 | -0.08 | 0.2x | 201 | 52% |
| ROC 모멘텀 n=173, threshold=0.01 |
-8.0% | -98.1% | 0.14 | -0.08 | 0.2x | 211 | 42% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=3.6 |
-3.3% | -87.2% | 0.07 | -0.04 | 0.5x | 68 | 15% |
| Buy and hold | 0.5% | -98.6% | 0.44 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)