Trend-Following Backtester · Guide · backtest 한국어
equity · US
REGENXBIO Inc. backtest
10 trend-following strategies were compared on the full daily history of REGENXBIO 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 7.4%, MDD -20.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -93.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -20.6%, Sharpe 0.60, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 72.9%p (CAGR 7.4%, MDD -20.6%, exposure 5%).
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=26, threshold=32 |
7.4% | -20.6% | 0.60 | 0.36 | 2.2x | 8 | 5% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=2.7 |
6.4% | -39.2% | 0.37 | 0.16 | 2.0x | 32 | 13% |
| Supertrend period=27, mult=2.3 |
4.8% | -79.6% | 0.34 | 0.06 | 1.7x | 98 | 40% |
| MACD fast=11, slow=16, signal=10 |
2.6% | -89.6% | 0.31 | 0.03 | 1.3x | 224 | 51% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
2.9% | -41.0% | 0.24 | 0.07 | 1.4x | 20 | 9% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.6% | -90.1% | 0.22 | -0.02 | 0.8x | 198 | 46% |
| Donchian 채널 돌파 entryN=98, exitN=32 |
-1.2% | -78.3% | 0.13 | -0.02 | 0.9x | 15 | 26% |
| SMA 크로스오버 fast=37, slow=140 |
-4.0% | -89.7% | 0.11 | -0.05 | 0.6x | 23 | 37% |
| EMA 크로스오버 fast=12, slow=188 |
-8.3% | -92.5% | -0.00 | -0.09 | 0.4x | 31 | 37% |
| ROC 모멘텀 n=143, threshold=0.14 |
-6.3% | -84.2% | -0.00 | -0.07 | 0.5x | 86 | 28% |
| Buy and hold | -10.0% | -93.5% | 0.20 | -0.11 | 0.3x | 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, 26-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)