Trend-Following Backtester · Guide · backtest 한국어
equity · US
Opus Genetics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Opus Genetics, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -24.0%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -82.8%, Sharpe 0.31, 8% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=15, threshold=38 |
4.8% | -82.8% | 0.31 | 0.06 | 2.7x | 54 | 8% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=10, mult=2 |
0.1% | -91.4% | 0.29 | 0.00 | 1.0x | 58 | 20% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
1.0% | -88.3% | 0.27 | 0.01 | 1.2x | 78 | 15% |
| Donchian 채널 돌파 entryN=52, exitN=7 |
-0.9% | -86.7% | 0.26 | -0.01 | 0.8x | 76 | 15% |
| EMA 크로스오버 fast=15, slow=38 |
-7.5% | -97.8% | 0.25 | -0.08 | 0.2x | 116 | 35% |
| SMA 크로스오버 fast=30, slow=69 |
-9.8% | -98.9% | 0.22 | -0.10 | 0.1x | 80 | 37% |
| MACD fast=18, slow=58, signal=16 |
-14.8% | -98.9% | 0.21 | -0.15 | 0.0x | 216 | 55% |
| Supertrend period=21, mult=4.5 |
-9.9% | -98.2% | 0.15 | -0.10 | 0.1x | 62 | 28% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-13.6% | -98.3% | 0.15 | -0.14 | 0.0x | 299 | 41% |
| ROC 모멘텀 n=75, threshold=0.01 |
-14.9% | -99.3% | 0.12 | -0.15 | 0.0x | 244 | 34% |
| Buy and hold | -24.0% | -100.0% | 0.27 | -0.24 | 0.0x | 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, 15-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)