Trend-Following Backtester · Guide · backtest 한국어
equity · US
Edgewise Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Edgewise Therapeutics, Inc.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.2%, MDD -29.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -84.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.1%, MDD -33.4%, Sharpe 0.83, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 36.6%, MDD -42.9%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 10.2%, MDD -29.0%, exposure 8%).
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=22, threshold=25 |
27.1% | -33.4% | 0.83 | 0.81 | 3.6x | 12 | 17% |
| Donchian 채널 돌파 entryN=93, exitN=65 |
36.6% | -42.9% | 0.81 | 0.85 | 5.3x | 5 | 42% |
| SMA 크로스오버 fast=56, slow=174 |
34.5% | -39.2% | 0.80 | 0.88 | 4.9x | 5 | 43% |
| EMA 크로스오버 fast=11, slow=201 |
30.8% | -38.1% | 0.75 | 0.81 | 4.2x | 7 | 39% |
| ROC 모멘텀 n=121, threshold=-0.02 |
30.3% | -60.7% | 0.73 | 0.50 | 4.1x | 35 | 46% |
| Supertrend period=18, mult=4.1 |
22.9% | -62.7% | 0.63 | 0.37 | 3.0x | 15 | 49% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
13.1% | -40.8% | 0.51 | 0.32 | 1.9x | 10 | 19% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=3.6 |
10.2% | -29.0% | 0.49 | 0.35 | 1.7x | 6 | 8% |
| MACD fast=8, slow=50, signal=7 |
-11.8% | -78.1% | 0.06 | -0.15 | 0.5x | 124 | 47% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-17.0% | -80.9% | -0.04 | -0.21 | 0.4x | 199 | 48% |
| Buy and hold | 4.7% | -84.7% | 0.44 | 0.06 | 1.3x | 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, 22-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)