Trend-Following Backtester · Guide · backtest 한국어
equity · US
Denali Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Denali Therapeutics Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -27.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.8%, drawdown -87.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -53.4%, Sharpe 0.65, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 3.1%, MDD -27.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=140 |
21.1% | -53.4% | 0.65 | 0.40 | 5.2x | 13 | 47% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
7.4% | -36.2% | 0.45 | 0.20 | 1.9x | 10 | 10% |
| ROC 모멘텀 n=146, threshold=0.12 |
8.2% | -55.0% | 0.39 | 0.15 | 2.0x | 67 | 36% |
| ADX / DI 방향성 period=33, threshold=30 |
3.1% | -27.3% | 0.37 | 0.12 | 1.3x | 2 | 2% |
| Supertrend period=21, mult=5 |
6.4% | -81.2% | 0.36 | 0.08 | 1.7x | 23 | 46% |
| EMA 크로스오버 fast=29, slow=210 |
5.6% | -60.2% | 0.33 | 0.09 | 1.6x | 13 | 38% |
| Donchian 채널 돌파 entryN=112, exitN=78 |
5.6% | -67.5% | 0.33 | 0.08 | 1.6x | 9 | 33% |
| MACD fast=19, slow=37, signal=19 |
-6.1% | -78.8% | 0.08 | -0.08 | 0.6x | 94 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=9, mult=3.7 |
-0.3% | -24.6% | 0.03 | -0.01 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-13.9% | -90.6% | -0.12 | -0.15 | 0.3x | 162 | 49% |
| Buy and hold | 0.8% | -87.7% | 0.33 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 75-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 75-day average falls below the 140-day average