Trend-Following Backtester · Guide · backtest 한국어
equity · US
Disc Medicine, Inc. backtest
10 trend-following strategies were compared on the full daily history of Disc Medicine, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.8%, MDD -20.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.8%, drawdown -96.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 21.8%, MDD -20.3%, Sharpe 0.86, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 30.1%, MDD -38.6%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 42.6%p higher than buy and hold, while drawdown improves by 76.3%p (CAGR 21.8%, MDD -20.3%, exposure 23%).
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=31, threshold=21 |
21.8% | -20.3% | 0.86 | 1.07 | 3.2x | 14 | 23% |
| SMA 크로스오버 fast=10, slow=61 |
30.1% | -38.6% | 0.86 | 0.78 | 4.8x | 21 | 50% |
| EMA 크로스오버 fast=22, slow=30 |
28.4% | -33.1% | 0.82 | 0.86 | 4.4x | 21 | 50% |
| ROC 모멘텀 n=50, threshold=-0.04 |
27.7% | -53.1% | 0.78 | 0.52 | 4.3x | 49 | 54% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
22.6% | -56.2% | 0.76 | 0.40 | 3.4x | 21 | 38% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=3.3 |
15.9% | -26.6% | 0.68 | 0.60 | 2.4x | 12 | 22% |
| Donchian 채널 돌파 entryN=35, exitN=6 |
14.8% | -36.5% | 0.61 | 0.40 | 2.3x | 29 | 25% |
| Supertrend period=12, mult=2.9 |
15.4% | -56.0% | 0.55 | 0.28 | 2.4x | 27 | 52% |
| MACD fast=19, slow=52, signal=15 |
12.7% | -73.5% | 0.49 | 0.17 | 2.0x | 58 | 54% |
| Parabolic SAR step=0.02, maxStep=0.24 |
2.0% | -67.5% | 0.26 | 0.03 | 1.1x | 123 | 49% |
| Buy and hold | -20.8% | -96.7% | 0.04 | -0.22 | 0.2x | 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, 31-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)