Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monopar Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Monopar Therapeutics 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 16.5%, MDD -28.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.3%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.5%, MDD -28.3%, Sharpe 0.74, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 55.0%, MDD -61.0%, exposure 37%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.8%p higher than buy and hold, while drawdown improves by 70.6%p (CAGR 16.5%, MDD -28.3%, exposure 4%).
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=32, threshold=41 |
16.5% | -28.3% | 0.74 | 0.58 | 2.8x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=2.9 |
19.4% | -70.5% | 0.57 | 0.28 | 3.3x | 16 | 12% |
| SMA 크로스오버 fast=7, slow=104 |
55.0% | -61.0% | 0.54 | 0.90 | 19.5x | 18 | 37% |
| EMA 크로스오버 fast=20, slow=56 |
52.5% | -62.6% | 0.53 | 0.84 | 17.5x | 18 | 37% |
| ROC 모멘텀 n=62, threshold=-0.04 |
35.6% | -82.3% | 0.51 | 0.43 | 7.9x | 72 | 43% |
| MACD fast=14, slow=56, signal=13 |
9.2% | -80.5% | 0.50 | 0.11 | 1.8x | 70 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
39.7% | -67.6% | 0.49 | 0.59 | 9.6x | 44 | 30% |
| Donchian 채널 돌파 entryN=30, exitN=61 |
26.5% | -82.3% | 0.48 | 0.32 | 4.9x | 16 | 52% |
| Supertrend period=29, mult=4.4 |
30.3% | -74.2% | 0.47 | 0.41 | 6.0x | 18 | 25% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.8% | -86.5% | 0.33 | -0.07 | 0.7x | 74 | 40% |
| Buy and hold | -7.3% | -98.9% | 0.44 | -0.07 | 0.6x | 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, 32-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)