Trend-Following Backtester · Guide · backtest 한국어
equity · US
Century Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Century Therapeutics, Inc.. 10 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 37.0%, MDD -24.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.8%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 44.5%, MDD -37.0%, Sharpe 1.04, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 82.3%p higher than buy and hold, while drawdown improves by 61.8%p (CAGR 37.0%, MDD -24.5%, exposure 6%).
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=25, threshold=29 |
44.5% | -37.0% | 1.04 | 1.20 | 6.6x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=3.1 |
37.0% | -24.5% | 1.01 | 1.51 | 5.0x | 4 | 6% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
34.8% | -37.0% | 0.90 | 0.94 | 4.6x | 6 | 12% |
| SMA 크로스오버 fast=53, slow=92 |
27.7% | -49.8% | 0.73 | 0.56 | 3.5x | 8 | 25% |
| Donchian 채널 돌파 entryN=95, exitN=43 |
24.6% | -41.2% | 0.69 | 0.60 | 3.1x | 3 | 18% |
| EMA 크로스오버 fast=14, slow=123 |
22.9% | -46.6% | 0.66 | 0.49 | 2.9x | 5 | 19% |
| ROC 모멘텀 n=93, threshold=0.09 |
23.0% | -56.2% | 0.66 | 0.41 | 2.9x | 22 | 21% |
| Supertrend period=19, mult=4.8 |
18.1% | -53.6% | 0.57 | 0.34 | 2.3x | 7 | 29% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-11.1% | -86.2% | 0.10 | -0.13 | 0.5x | 70 | 40% |
| MACD fast=11, slow=34, signal=15 |
-20.7% | -90.8% | -0.03 | -0.23 | 0.3x | 66 | 52% |
| Buy and hold | -37.8% | -98.8% | -0.17 | -0.38 | 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, 25-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)