Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avalo Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avalo 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 23.2%, MDD -44.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -47.4%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.2%, MDD -44.6%, Sharpe 0.79, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 70.6%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 23.2%, MDD -44.6%, exposure 7%).
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=29, threshold=34 |
23.2% | -44.6% | 0.79 | 0.52 | 9.5x | 4 | 7% |
| Parabolic SAR step=0.06, maxStep=0.36 |
-10.3% | -97.8% | 0.37 | -0.11 | 0.3x | 391 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=51 |
-18.7% | -99.0% | 0.35 | -0.19 | 0.1x | 47 | 72% |
| MACD fast=19, slow=59, signal=18 |
-19.5% | -99.3% | 0.35 | -0.20 | 0.1x | 89 | 55% |
| ROC 모멘텀 n=4, threshold=-0.04 |
-28.5% | -99.9% | 0.25 | -0.29 | 0.0x | 545 | 64% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
0.8% | -82.2% | 0.23 | 0.01 | 1.1x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=7, mult=2.1 |
-1.0% | -86.1% | 0.22 | -0.01 | 0.9x | 37 | 22% |
| EMA 크로스오버 fast=56, slow=121 |
-4.2% | -83.5% | 0.20 | -0.05 | 0.6x | 17 | 32% |
| Supertrend period=23, mult=5 |
-19.8% | -97.1% | 0.19 | -0.20 | 0.1x | 27 | 44% |
| SMA 크로스오버 fast=21, slow=28 |
-27.2% | -98.8% | 0.19 | -0.28 | 0.0x | 127 | 43% |
| Buy and hold | -47.4% | -100.0% | 0.18 | -0.47 | 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, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)