Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corbus Pharmaceuticals Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corbus Pharmaceuticals Holdings, 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 9.5%, MDD -51.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.8%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.5%, MDD -51.0%, Sharpe 0.42, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.4%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 9.5%, MDD -51.0%, exposure 11%).
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=45, threshold=24 |
9.5% | -51.0% | 0.42 | 0.19 | 2.9x | 8 | 11% |
| SMA 크로스오버 fast=38, slow=69 |
8.6% | -89.2% | 0.42 | 0.10 | 2.6x | 36 | 44% |
| MACD fast=18, slow=53, signal=18 |
3.7% | -92.5% | 0.42 | 0.04 | 1.5x | 99 | 56% |
| Donchian 채널 돌파 entryN=7, exitN=44 |
-4.6% | -97.9% | 0.42 | -0.05 | 0.6x | 65 | 73% |
| ROC 모멘텀 n=53, threshold=-0.02 |
-0.1% | -94.8% | 0.38 | -0.00 | 1.0x | 134 | 45% |
| Supertrend period=12, mult=4.3 |
-2.2% | -95.5% | 0.38 | -0.02 | 0.8x | 34 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=3.9 |
7.3% | -60.2% | 0.38 | 0.12 | 2.3x | 16 | 10% |
| EMA 크로스오버 fast=43, slow=84 |
1.1% | -90.8% | 0.38 | 0.01 | 1.1x | 24 | 39% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
5.9% | -75.2% | 0.34 | 0.08 | 2.0x | 18 | 11% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-3.4% | -89.2% | 0.28 | -0.04 | 0.7x | 281 | 44% |
| Buy and hold | -17.8% | -99.3% | 0.36 | -0.18 | 0.1x | 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, 45-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)