Trend-Following Backtester · Guide · backtest 한국어
equity · US
ClearPoint Neuro Inc. backtest
10 trend-following strategies were compared on the full daily history of ClearPoint Neuro Inc.. 9 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 8.8%, MDD -31.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.8%, drawdown -99.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.8%, MDD -31.9%, Sharpe 0.58, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 10.2%, MDD -56.6%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 67.3%p (CAGR 8.8%, MDD -31.9%, exposure 5%).
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=33, threshold=30 |
8.8% | -31.9% | 0.58 | 0.28 | 3.3x | 12 | 5% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=2.9 |
10.2% | -56.6% | 0.44 | 0.18 | 4.0x | 44 | 17% |
| Supertrend period=17, mult=3.8 |
8.8% | -90.2% | 0.42 | 0.10 | 3.3x | 51 | 44% |
| Parabolic SAR step=0.015, maxStep=0.28 |
6.9% | -85.1% | 0.40 | 0.08 | 2.6x | 210 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=20 |
7.5% | -62.6% | 0.38 | 0.12 | 2.8x | 29 | 25% |
| ROC 모멘텀 n=73, threshold=0.01 |
6.0% | -83.9% | 0.36 | 0.07 | 2.3x | 129 | 42% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
5.8% | -72.8% | 0.35 | 0.08 | 2.2x | 74 | 32% |
| SMA 크로스오버 fast=55, slow=80 |
4.1% | -84.8% | 0.34 | 0.05 | 1.8x | 49 | 45% |
| EMA 크로스오버 fast=41, slow=53 |
-2.2% | -82.2% | 0.20 | -0.03 | 0.7x | 37 | 41% |
| MACD fast=18, slow=58, signal=18 |
-9.6% | -92.7% | 0.12 | -0.10 | 0.2x | 154 | 53% |
| Buy and hold | -4.8% | -99.2% | 0.37 | -0.05 | 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, 33-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)