Trend-Following Backtester · Guide · backtest 한국어
equity · US
Entera Bio Ltd. backtest
10 trend-following strategies were compared on the full daily history of Entera Bio Ltd.. 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 34.4%, MDD -57.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -92.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.4%, MDD -57.7%, Sharpe 0.65, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 43.2%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 34.4%, MDD -57.7%, exposure 23%).
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=26, threshold=19 |
34.4% | -57.7% | 0.65 | 0.60 | 10.9x | 31 | 23% |
| SMA 크로스오버 fast=24, slow=40 |
18.9% | -72.5% | 0.53 | 0.26 | 4.0x | 55 | 40% |
| Donchian 채널 돌파 entryN=56, exitN=39 |
19.6% | -70.6% | 0.52 | 0.28 | 4.3x | 15 | 27% |
| ROC 모멘텀 n=95, threshold=-0.01 |
16.4% | -70.6% | 0.50 | 0.23 | 3.4x | 61 | 35% |
| EMA 크로스오버 fast=21, slow=79 |
11.2% | -77.3% | 0.43 | 0.14 | 2.4x | 23 | 29% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
6.4% | -67.0% | 0.37 | 0.10 | 1.7x | 27 | 24% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=1.9 |
4.1% | -75.8% | 0.33 | 0.05 | 1.4x | 31 | 21% |
| Supertrend period=9, mult=4.7 |
-3.9% | -84.1% | 0.33 | -0.05 | 0.7x | 17 | 57% |
| MACD fast=18, slow=54, signal=15 |
-1.4% | -80.5% | 0.33 | -0.02 | 0.9x | 89 | 49% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-3.9% | -83.5% | 0.31 | -0.05 | 0.7x | 225 | 40% |
| Buy and hold | -8.8% | -92.8% | 0.39 | -0.10 | 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, 26-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)