Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perspective Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Perspective Therapeutics, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -12.9%, drawdown -98.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.8%, MDD -86.2%, Sharpe 0.44, 24% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=21, threshold=23 |
13.8% | -86.2% | 0.44 | 0.16 | 14.5x | 82 | 24% |
| Supertrend period=11, mult=3.3 |
7.9% | -90.6% | 0.43 | 0.09 | 4.8x | 82 | 42% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
10.3% | -93.9% | 0.40 | 0.11 | 7.6x | 66 | 17% |
| Donchian 채널 돌파 entryN=23, exitN=79 |
-4.5% | -95.2% | 0.36 | -0.05 | 0.4x | 60 | 64% |
| MACD fast=15, slow=59, signal=19 |
-2.3% | -99.0% | 0.35 | -0.02 | 0.6x | 206 | 49% |
| SMA 크로스오버 fast=38, slow=49 |
-2.6% | -92.0% | 0.30 | -0.03 | 0.6x | 138 | 39% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-6.5% | -98.2% | 0.28 | -0.07 | 0.2x | 304 | 41% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=12, mult=3.1 |
1.6% | -90.9% | 0.26 | 0.02 | 1.4x | 38 | 11% |
| ROC 모멘텀 n=20, threshold=0.03 |
-7.8% | -98.6% | 0.25 | -0.08 | 0.2x | 480 | 35% |
| EMA 크로스오버 fast=18, slow=91 |
-13.4% | -98.0% | 0.10 | -0.14 | 0.1x | 76 | 34% |
| Buy and hold | -12.9% | -98.2% | 0.39 | -0.13 | 0.1x | 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, 21-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)