Trend-Following Backtester · Guide · backtest 한국어
equity · US
Relmada Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Relmada 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 15.8%, MDD -28.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.2%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.8%, MDD -28.8%, Sharpe 0.67, 7% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 21.6%, MDD -61.7%, exposure 22%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.0%p higher than buy and hold, while drawdown improves by 70.8%p (CAGR 15.8%, MDD -28.8%, exposure 7%).
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=36 |
15.8% | -28.8% | 0.67 | 0.55 | 5.9x | 6 | 7% |
| 볼린저 밴드 돌파 n=26, k=2.5 |
21.6% | -61.7% | 0.60 | 0.35 | 10.7x | 56 | 22% |
| ROC 모멘텀 n=148, threshold=0.04 |
16.2% | -89.9% | 0.58 | 0.18 | 6.1x | 73 | 37% |
| Donchian 채널 돌파 entryN=29, exitN=8 |
19.9% | -68.7% | 0.58 | 0.29 | 9.0x | 64 | 27% |
| SMA 크로스오버 fast=14, slow=158 |
11.9% | -89.4% | 0.52 | 0.13 | 3.9x | 32 | 39% |
| Parabolic SAR step=0.02, maxStep=0.14 |
9.9% | -87.3% | 0.52 | 0.11 | 3.1x | 229 | 46% |
| Supertrend period=12, mult=4.9 |
5.1% | -96.7% | 0.48 | 0.05 | 1.8x | 28 | 53% |
| EMA 크로스오버 fast=22, slow=196 |
8.6% | -93.0% | 0.47 | 0.09 | 2.7x | 15 | 33% |
| MACD fast=16, slow=27, signal=12 |
4.1% | -95.9% | 0.43 | 0.04 | 1.6x | 172 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=1.8 |
7.5% | -74.7% | 0.40 | 0.10 | 2.4x | 60 | 24% |
| Buy and hold | -18.2% | -99.7% | 0.40 | -0.18 | 0.1x | 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 ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)