Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rezolute, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rezolute, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -34.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -28.9%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -89.7%, Sharpe 0.47, 35% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 3.4%, MDD -34.9%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.8%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 3.4%, MDD -34.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=87 |
-0.1% | -89.7% | 0.47 | -0.00 | 1.0x | 37 | 35% |
| ADX / DI 방향성 period=32, threshold=37 |
3.4% | -34.9% | 0.29 | 0.10 | 1.6x | 2 | 2% |
| Donchian 채널 돌파 entryN=93, exitN=39 |
-8.7% | -89.5% | 0.24 | -0.10 | 0.3x | 13 | 21% |
| EMA 크로스오버 fast=23, slow=168 |
-9.3% | -87.2% | 0.24 | -0.11 | 0.3x | 21 | 24% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
-3.9% | -94.0% | 0.21 | -0.04 | 0.6x | 25 | 13% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=3.3 |
-4.3% | -91.7% | 0.13 | -0.05 | 0.6x | 25 | 15% |
| MACD fast=14, slow=40, signal=18 |
-35.6% | -99.9% | 0.12 | -0.36 | 0.0x | 188 | 53% |
| ROC 모멘텀 n=68, threshold=0.06 |
-27.0% | -99.5% | 0.05 | -0.27 | 0.0x | 167 | 32% |
| Supertrend period=10, mult=4.2 |
-41.7% | -100.0% | 0.04 | -0.42 | 0.0x | 71 | 46% |
| Parabolic SAR step=0.06, maxStep=0.18 |
-55.7% | -100.0% | -0.17 | -0.56 | 0.0x | 454 | 43% |
| Buy and hold | -28.9% | -99.9% | 0.51 | -0.29 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 45-day average falls below the 87-day average