Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eledon Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Eledon Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -47.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.8%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR -12.0%, MDD -97.9%, Sharpe 0.23, 52% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.0%, MDD -47.2%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.7%p higher than buy and hold, while drawdown improves by 2.1%p (CAGR -0.0%, MDD -47.2%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=6, slow=54, signal=5 |
-12.0% | -97.9% | 0.23 | -0.12 | 0.2x | 298 | 52% |
| SMA 크로스오버 fast=57, slow=210 |
-1.7% | -75.9% | 0.14 | -0.02 | 0.8x | 9 | 23% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-12.4% | -94.7% | 0.13 | -0.13 | 0.2x | 300 | 42% |
| ROC 모멘텀 n=124, threshold=0.13 |
-9.7% | -80.1% | 0.10 | -0.12 | 0.3x | 63 | 21% |
| ADX / DI 방향성 period=35, threshold=25 |
-0.0% | -47.2% | 0.07 | -0.00 | 1.0x | 4 | 2% |
| 볼린저 밴드 돌파 n=33, k=2.5 |
-9.5% | -86.1% | 0.01 | -0.11 | 0.3x | 46 | 18% |
| EMA 크로스오버 fast=55, slow=221 |
-6.0% | -74.5% | 0.01 | -0.08 | 0.5x | 9 | 16% |
| Supertrend period=21, mult=3.6 |
-16.5% | -95.8% | -0.05 | -0.17 | 0.1x | 37 | 36% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=2.6 |
-12.1% | -84.5% | -0.10 | -0.14 | 0.2x | 32 | 15% |
| Donchian 채널 돌파 entryN=211, exitN=24 |
-8.1% | -81.5% | -0.11 | -0.10 | 0.4x | 8 | 11% |
| Buy and hold | -44.8% | -100.0% | -0.09 | -0.45 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (6/54) crosses above its 5-day signal line
- Sell — Sell when the MACD line crosses back below the signal line