Trend-Following Backtester · Guide · backtest 한국어
equity · US
Faeth Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Faeth Therapeutics, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.1%, drawdown -98.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.8%, MDD -28.3%, Sharpe 0.47, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 61.9%p higher than buy and hold, while drawdown improves by 70.4%p (CAGR 0.3%, MDD -19.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=32 |
23.8% | -28.3% | 0.47 | 0.84 | 3.2x | 4 | 6% |
| SMA 크로스오버 fast=43, slow=178 |
12.8% | -69.2% | 0.45 | 0.19 | 1.9x | 5 | 22% |
| EMA 크로스오버 fast=57, slow=122 |
11.0% | -70.6% | 0.43 | 0.16 | 1.8x | 3 | 20% |
| Donchian 채널 돌파 entryN=102, exitN=105 |
10.1% | -74.6% | 0.42 | 0.14 | 1.7x | 3 | 19% |
| ROC 모멘텀 n=145, threshold=0.08 |
6.4% | -75.1% | 0.39 | 0.09 | 1.4x | 33 | 17% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-13.7% | -91.5% | 0.20 | -0.15 | 0.4x | 129 | 37% |
| Supertrend period=29, mult=3.4 |
-18.9% | -93.0% | 0.14 | -0.20 | 0.3x | 23 | 45% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
0.3% | -19.0% | 0.09 | 0.01 | 1.0x | 4 | 2% |
| MACD fast=9, slow=15, signal=13 |
-36.5% | -98.4% | -0.05 | -0.37 | 0.1x | 124 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=6, mult=2.6 |
-8.2% | -50.9% | -0.13 | -0.16 | 0.6x | 9 | 6% |
| Buy and hold | -38.1% | -98.7% | 0.13 | -0.39 | 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, 26-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)