Trend-Following Backtester · Guide · backtest 한국어
equity · US
ARS Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of ARS Pharmaceuticals, 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 6.7%, MDD -20.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.5%, drawdown -95.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.7%, MDD -20.8%, Sharpe 0.55, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.1%, MDD -51.9%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.1%p higher than buy and hold, while drawdown improves by 74.4%p (CAGR 6.7%, MDD -20.8%, exposure 4%).
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=28, threshold=29 |
6.7% | -20.8% | 0.55 | 0.32 | 1.4x | 2 | 4% |
| EMA 크로스오버 fast=7, slow=12 |
13.1% | -51.9% | 0.50 | 0.25 | 2.0x | 78 | 48% |
| Donchian 채널 돌파 entryN=98, exitN=43 |
12.0% | -39.8% | 0.50 | 0.30 | 1.9x | 6 | 32% |
| SMA 크로스오버 fast=24, slow=156 |
12.0% | -56.8% | 0.49 | 0.21 | 1.9x | 10 | 38% |
| Supertrend period=24, mult=2 |
11.8% | -61.5% | 0.47 | 0.19 | 1.9x | 48 | 49% |
| ROC 모멘텀 n=45, threshold=0.02 |
7.0% | -50.3% | 0.38 | 0.14 | 1.5x | 82 | 48% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
4.6% | -41.3% | 0.31 | 0.11 | 1.3x | 18 | 19% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.2% | -75.3% | 0.12 | -0.07 | 0.7x | 94 | 49% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=18, mult=3 |
-3.0% | -47.4% | 0.01 | -0.06 | 0.8x | 16 | 16% |
| MACD fast=11, slow=50, signal=11 |
-20.9% | -83.0% | -0.24 | -0.25 | 0.3x | 78 | 52% |
| Buy and hold | -24.5% | -95.2% | 0.06 | -0.26 | 0.2x | 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, 28-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)