Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nurix Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nurix Therapeutics, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -41.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.0%, drawdown -91.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.7%, MDD -41.8%, Sharpe 0.69, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 9.0%, MDD -41.1%, exposure 16%).
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=34, threshold=15 |
23.7% | -41.8% | 0.69 | 0.57 | 3.7x | 21 | 30% |
| SMA 크로스오버 fast=39, slow=72 |
19.9% | -58.9% | 0.61 | 0.34 | 3.0x | 21 | 44% |
| EMA 크로스오버 fast=36, slow=75 |
16.8% | -74.2% | 0.56 | 0.23 | 2.6x | 15 | 42% |
| Donchian 채널 돌파 entryN=12, exitN=57 |
12.7% | -84.6% | 0.51 | 0.15 | 2.1x | 25 | 73% |
| ROC 모멘텀 n=73, threshold=-0.01 |
13.9% | -64.9% | 0.50 | 0.21 | 2.2x | 53 | 46% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
11.4% | -43.2% | 0.47 | 0.26 | 1.9x | 17 | 22% |
| Supertrend period=16, mult=4.2 |
11.1% | -85.4% | 0.47 | 0.13 | 1.9x | 19 | 50% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=2.6 |
9.0% | -41.1% | 0.42 | 0.22 | 1.7x | 15 | 16% |
| Parabolic SAR step=0.015, maxStep=0.24 |
6.2% | -72.1% | 0.38 | 0.09 | 1.4x | 116 | 46% |
| MACD fast=8, slow=49, signal=10 |
1.9% | -79.0% | 0.30 | 0.02 | 1.1x | 114 | 47% |
| Buy and hold | 5.0% | -91.5% | 0.45 | 0.06 | 1.3x | 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, 34-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)