Trend-Following Backtester · Guide · backtest 한국어
equity · US
Starling Oncology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Starling Oncology, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 40.7%, MDD -39.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.7%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 89.4%, MDD -50.4%, Sharpe 1.30, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 100.1%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 40.7%, MDD -39.1%, exposure 16%).
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=21, threshold=19 |
89.4% | -50.4% | 1.30 | 1.77 | 51.0x | 39 | 35% |
| ROC 모멘텀 n=63, threshold=0.12 |
58.7% | -55.5% | 1.07 | 1.06 | 17.1x | 37 | 28% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
40.7% | -39.1% | 0.95 | 1.04 | 8.2x | 8 | 16% |
| SMA 크로스오버 fast=22, slow=87 |
47.6% | -55.3% | 0.93 | 0.86 | 11.0x | 17 | 38% |
| EMA 크로스오버 fast=34, slow=50 |
47.0% | -55.3% | 0.92 | 0.85 | 10.7x | 19 | 40% |
| Donchian 채널 돌파 entryN=80, exitN=57 |
39.9% | -50.8% | 0.86 | 0.78 | 7.9x | 9 | 30% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=1.7 |
37.4% | -45.3% | 0.85 | 0.83 | 7.1x | 32 | 28% |
| Parabolic SAR step=0.015, maxStep=0.16 |
41.2% | -63.0% | 0.84 | 0.65 | 8.4x | 100 | 50% |
| MACD fast=11, slow=51, signal=14 |
42.5% | -85.4% | 0.84 | 0.50 | 8.9x | 66 | 57% |
| Supertrend period=18, mult=4.4 |
32.6% | -71.8% | 0.76 | 0.45 | 5.7x | 17 | 38% |
| Buy and hold | -10.7% | -98.8% | 0.37 | -0.11 | 0.5x | 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, 21-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)