Trend-Following Backtester · Guide · backtest 한국어
equity · US
Abeona Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Abeona Therapeutics Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -63.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.5%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.4%, MDD -63.0%, Sharpe 0.29, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.9%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 4.4%, MDD -63.0%, exposure 3%).
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=30, threshold=36 |
4.4% | -63.0% | 0.29 | 0.07 | 7.2x | 24 | 3% |
| SMA 크로스오버 fast=29, slow=93 |
-1.9% | -92.4% | 0.26 | -0.02 | 0.4x | 119 | 36% |
| Donchian 채널 돌파 entryN=40, exitN=29 |
-3.2% | -95.5% | 0.23 | -0.03 | 0.2x | 133 | 34% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
1.8% | -90.9% | 0.23 | 0.02 | 2.2x | 55 | 11% |
| EMA 크로스오버 fast=42, slow=99 |
-4.1% | -96.3% | 0.18 | -0.04 | 0.1x | 87 | 33% |
| Supertrend period=29, mult=3.9 |
-9.0% | -99.3% | 0.15 | -0.09 | 0.0x | 198 | 34% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-12.4% | -99.9% | 0.15 | -0.12 | 0.0x | 952 | 44% |
| ROC 모멘텀 n=64, threshold=0.14 |
-6.4% | -96.8% | 0.14 | -0.07 | 0.0x | 505 | 27% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.1 |
-5.3% | -93.8% | 0.14 | -0.06 | 0.1x | 179 | 23% |
| MACD fast=17, slow=57, signal=17 |
-24.0% | -100.0% | 0.01 | -0.24 | 0.0x | 522 | 51% |
| Buy and hold | -24.5% | -100.0% | 0.26 | -0.24 | 0.0x | 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, 30-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)