Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atea Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Atea Pharmaceuticals, Inc.. 10 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 7.9%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.8%, drawdown -97.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.0%, MDD -21.9%, Sharpe 0.65, 5% exposure.
CAGR reference leader: Supertrend — CAGR 13.6%, MDD -65.6%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 37.8%p higher than buy and hold, while drawdown improves by 75.2%p (CAGR 7.9%, MDD -21.1%, exposure 6%).
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=16, threshold=39 |
10.0% | -21.9% | 0.65 | 0.46 | 1.7x | 6 | 5% |
| Supertrend period=29, mult=1.7 |
13.6% | -65.6% | 0.51 | 0.21 | 2.1x | 68 | 40% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
7.9% | -21.1% | 0.46 | 0.37 | 1.5x | 8 | 6% |
| ROC 모멘텀 n=7, threshold=0.07 |
5.9% | -60.7% | 0.33 | 0.10 | 1.4x | 148 | 21% |
| Parabolic SAR step=0.025, maxStep=0.12 |
3.9% | -68.0% | 0.30 | 0.06 | 1.2x | 119 | 47% |
| MACD fast=11, slow=27, signal=11 |
2.1% | -84.4% | 0.28 | 0.03 | 1.1x | 82 | 54% |
| SMA 크로스오버 fast=35, slow=42 |
-4.4% | -83.4% | 0.22 | -0.05 | 0.8x | 55 | 42% |
| Donchian 채널 돌파 entryN=39, exitN=30 |
-5.6% | -79.2% | 0.19 | -0.07 | 0.7x | 16 | 35% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=1.8 |
-5.5% | -77.2% | 0.17 | -0.07 | 0.7x | 26 | 22% |
| EMA 크로스오버 fast=44, slow=211 |
-1.1% | -39.8% | 0.05 | -0.03 | 0.9x | 5 | 18% |
| Buy and hold | -27.8% | -97.1% | -0.09 | -0.29 | 0.2x | 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, 16-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)