Trend-Following Backtester · Guide · backtest 한국어
equity · US
Larimar Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Larimar Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.9%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -70.1%, Sharpe 0.44, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.0%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 5.1%, MDD -40.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=35 |
9.1% | -70.1% | 0.44 | 0.13 | 2.9x | 155 | 47% |
| Supertrend period=23, mult=4.9 |
7.7% | -80.7% | 0.40 | 0.09 | 2.4x | 30 | 42% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
6.2% | -74.7% | 0.37 | 0.08 | 2.1x | 87 | 35% |
| ADX / DI 방향성 period=18, threshold=36 |
5.1% | -40.8% | 0.33 | 0.13 | 1.8x | 20 | 6% |
| Donchian 채널 돌파 entryN=75, exitN=75 |
1.6% | -76.4% | 0.31 | 0.02 | 1.2x | 17 | 47% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.2 |
3.5% | -69.6% | 0.27 | 0.05 | 1.5x | 24 | 14% |
| MACD fast=31, slow=86, signal=40 |
-6.2% | -91.4% | 0.24 | -0.07 | 0.5x | 45 | 55% |
| ROC 모멘텀 n=116, threshold=0.05 |
-4.2% | -86.4% | 0.19 | -0.05 | 0.6x | 103 | 42% |
| EMA 크로스오버 fast=22, slow=75 |
-4.9% | -82.4% | 0.16 | -0.06 | 0.5x | 42 | 42% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-22.1% | -97.1% | -0.07 | -0.23 | 0.0x | 201 | 43% |
| Buy and hold | -28.9% | -99.8% | 0.12 | -0.29 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 32-day average falls below the 35-day average