Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arvinas, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arvinas, 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 31.6%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.5%, drawdown -94.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 31.6%, MDD -32.7%, Sharpe 0.79, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 40.1%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 31.6%, MDD -32.7%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=28 |
31.6% | -32.7% | 0.79 | 0.97 | 8.6x | 34 | 16% |
| ROC 모멘텀 n=71, threshold=0.14 |
26.2% | -43.5% | 0.68 | 0.60 | 6.2x | 66 | 28% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=3.1 |
22.5% | -51.8% | 0.63 | 0.44 | 4.9x | 18 | 15% |
| Supertrend period=21, mult=3.4 |
22.0% | -76.0% | 0.60 | 0.29 | 4.8x | 34 | 37% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
21.8% | -58.2% | 0.59 | 0.37 | 4.7x | 82 | 35% |
| Donchian 채널 돌파 entryN=75, exitN=71 |
20.9% | -39.8% | 0.59 | 0.53 | 4.4x | 10 | 35% |
| EMA 크로스오버 fast=7, slow=127 |
17.6% | -58.0% | 0.53 | 0.30 | 3.6x | 16 | 36% |
| SMA 크로스오버 fast=6, slow=132 |
17.5% | -66.8% | 0.53 | 0.26 | 3.6x | 24 | 38% |
| MACD fast=11, slow=14, signal=12 |
15.1% | -86.3% | 0.52 | 0.18 | 3.0x | 153 | 51% |
| Parabolic SAR step=0.025, maxStep=0.12 |
13.9% | -80.9% | 0.47 | 0.17 | 2.8x | 170 | 47% |
| Buy and hold | -8.5% | -94.4% | 0.26 | -0.09 | 0.5x | 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, 14-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)