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.. 9 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 15.7%, MDD -28.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.7%, MDD -28.3%, Sharpe 0.73, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 56.1%, MDD -65.3%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 70.6%p (CAGR 15.7%, MDD -28.3%, exposure 3%).
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=30, threshold=42 |
15.7% | -28.3% | 0.73 | 0.55 | 2.6x | 2 | 3% |
| EMA 크로스오버 fast=13, slow=74 |
56.1% | -65.3% | 0.54 | 0.86 | 19.0x | 19 | 36% |
| MACD fast=14, slow=56, signal=13 |
10.1% | -80.5% | 0.51 | 0.13 | 1.9x | 67 | 53% |
| Donchian 채널 돌파 entryN=31, exitN=60 |
33.4% | -82.3% | 0.51 | 0.41 | 6.7x | 15 | 50% |
| SMA 크로스오버 fast=50, slow=70 |
34.5% | -88.3% | 0.50 | 0.39 | 7.1x | 27 | 41% |
| ROC 모멘텀 n=76, threshold=0.04 |
37.1% | -79.3% | 0.50 | 0.47 | 8.1x | 57 | 36% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=2.4 |
48.4% | -66.6% | 0.50 | 0.73 | 13.6x | 17 | 19% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
41.1% | -67.6% | 0.49 | 0.61 | 9.7x | 43 | 30% |
| Supertrend period=17, mult=5 |
31.8% | -74.8% | 0.49 | 0.42 | 6.2x | 13 | 40% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.8% | -84.7% | 0.34 | -0.10 | 0.5x | 47 | 38% |
| Buy and hold | -3.1% | -98.9% | 0.46 | -0.03 | 0.8x | 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, 30-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)