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 ADX / DI 방향성 (CAGR 93.2%, MDD -46.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.6%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 93.2%, MDD -46.3%, Sharpe 1.33, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 99.9%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 93.2%, MDD -46.3%, exposure 35%).
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=20 |
93.2% | -46.3% | 1.33 | 2.01 | 64.4x | 39 | 35% |
| ROC 모멘텀 n=57, threshold=0.14 |
67.2% | -48.9% | 1.16 | 1.38 | 25.8x | 40 | 29% |
| SMA 크로스오버 fast=20, slow=84 |
54.0% | -55.3% | 0.99 | 0.98 | 15.3x | 19 | 40% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
47.7% | -53.4% | 0.99 | 0.89 | 11.7x | 19 | 29% |
| EMA 크로스오버 fast=38, slow=48 |
52.3% | -55.3% | 0.97 | 0.95 | 14.3x | 15 | 42% |
| Donchian 채널 돌파 entryN=86, exitN=49 |
45.1% | -50.8% | 0.92 | 0.89 | 10.5x | 9 | 31% |
| MACD fast=15, slow=22, signal=18 |
44.4% | -86.0% | 0.86 | 0.52 | 10.2x | 72 | 56% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=1.6 |
37.7% | -49.6% | 0.85 | 0.76 | 7.6x | 33 | 30% |
| Supertrend period=24, mult=4.9 |
37.7% | -70.2% | 0.83 | 0.54 | 7.6x | 15 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
39.5% | -63.0% | 0.83 | 0.63 | 8.2x | 101 | 51% |
| Buy and hold | -6.6% | -98.8% | 0.41 | -0.07 | 0.6x | 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 ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)