Trend-Following Backtester · Guide · backtest 한국어
equity · US
InflaRx N.V. backtest
10 trend-following strategies were compared on the full daily history of InflaRx N.V.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.2%, MDD -40.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.1%, drawdown -98.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.6%, MDD -68.7%, Sharpe 0.65, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 47.8%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 15.2%, MDD -40.9%, exposure 15%).
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=7, threshold=22 |
25.6% | -68.7% | 0.65 | 0.37 | 7.3x | 196 | 44% |
| Parabolic SAR step=0.06, maxStep=0.14 |
5.3% | -95.3% | 0.60 | 0.06 | 1.6x | 272 | 44% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
18.3% | -44.4% | 0.58 | 0.41 | 4.3x | 20 | 9% |
| ROC 모멘텀 n=10, threshold=0.14 |
19.1% | -67.0% | 0.54 | 0.28 | 4.6x | 154 | 17% |
| Donchian 채널 돌파 entryN=54, exitN=7 |
15.2% | -40.9% | 0.51 | 0.37 | 3.4x | 30 | 15% |
| SMA 크로스오버 fast=20, slow=54 |
4.9% | -81.6% | 0.41 | 0.06 | 1.5x | 46 | 45% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=2 |
8.0% | -64.5% | 0.41 | 0.12 | 2.0x | 38 | 13% |
| Supertrend period=22, mult=2 |
7.0% | -80.7% | 0.40 | 0.09 | 1.8x | 84 | 38% |
| MACD fast=9, slow=55, signal=9 |
-6.0% | -91.7% | 0.30 | -0.07 | 0.6x | 162 | 51% |
| EMA 크로스오버 fast=4, slow=32 |
-6.0% | -88.8% | 0.28 | -0.07 | 0.6x | 118 | 43% |
| Buy and hold | -22.1% | -98.6% | 0.39 | -0.22 | 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, 7-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)