Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ocular Therapeutix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ocular Therapeutix, 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 21.0%, MDD -51.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.9%, drawdown -95.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 21.0%, MDD -51.2%, Sharpe 0.65, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.9%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 21.0%, MDD -51.2%, exposure 29%).
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=21, threshold=22 |
21.0% | -51.2% | 0.65 | 0.41 | 10.0x | 60 | 29% |
| 볼린저 밴드 돌파 n=38, k=1 |
13.2% | -77.6% | 0.49 | 0.17 | 4.5x | 91 | 41% |
| Supertrend period=24, mult=2.8 |
13.1% | -68.5% | 0.49 | 0.19 | 4.4x | 77 | 45% |
| ROC 모멘텀 n=32, threshold=0.06 |
11.5% | -80.0% | 0.46 | 0.14 | 3.7x | 202 | 40% |
| Donchian 채널 돌파 entryN=55, exitN=30 |
9.2% | -88.6% | 0.42 | 0.10 | 2.9x | 29 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.6 |
9.4% | -76.8% | 0.42 | 0.12 | 3.0x | 37 | 30% |
| EMA 크로스오버 fast=27, slow=69 |
8.3% | -86.8% | 0.42 | 0.10 | 2.6x | 35 | 45% |
| SMA 크로스오버 fast=31, slow=89 |
5.6% | -87.6% | 0.37 | 0.06 | 1.9x | 31 | 46% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.8% | -94.2% | 0.29 | -0.01 | 0.9x | 196 | 48% |
| MACD fast=16, slow=39, signal=18 |
-2.8% | -93.7% | 0.25 | -0.03 | 0.7x | 133 | 52% |
| Buy and hold | -1.9% | -95.2% | 0.39 | -0.02 | 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, 21-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)