Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neuronetics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Neuronetics, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 51.6%, MDD -41.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.9%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 56.5%, MDD -47.7%, Sharpe 1.17, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 84.4%p higher than buy and hold, while drawdown improves by 50.7%p (CAGR 51.6%, MDD -41.4%, exposure 21%).
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=19, threshold=24 |
56.5% | -47.7% | 1.17 | 1.19 | 37.5x | 29 | 20% |
| Donchian 채널 돌파 entryN=72, exitN=22 |
51.6% | -41.4% | 1.11 | 1.25 | 29.0x | 10 | 21% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=1.2 |
52.5% | -47.5% | 1.06 | 1.11 | 30.4x | 39 | 28% |
| EMA 크로스오버 fast=7, slow=65 |
51.1% | -68.7% | 1.02 | 0.74 | 28.2x | 21 | 31% |
| 볼린저 밴드 돌파 n=38, k=0.9 |
48.2% | -54.1% | 0.98 | 0.89 | 24.0x | 43 | 32% |
| ROC 모멘텀 n=22, threshold=0.14 |
41.6% | -49.5% | 0.92 | 0.84 | 16.7x | 113 | 27% |
| Supertrend period=28, mult=4 |
41.4% | -78.4% | 0.92 | 0.53 | 16.5x | 23 | 29% |
| SMA 크로스오버 fast=5, slow=91 |
42.6% | -69.0% | 0.91 | 0.62 | 17.7x | 25 | 31% |
| MACD fast=13, slow=41, signal=22 |
9.4% | -92.5% | 0.51 | 0.10 | 2.1x | 73 | 56% |
| Parabolic SAR step=0.03, maxStep=0.08 |
8.5% | -87.0% | 0.45 | 0.10 | 1.9x | 142 | 42% |
| Buy and hold | -27.9% | -98.4% | 0.15 | -0.28 | 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, 19-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)