Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tonix Pharmaceuticals Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Tonix Pharmaceuticals Holding Corp.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -51.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -77.8%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -87.9%, Sharpe 0.26, 8% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.6%, MDD -51.6%, exposure 2%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 79.0%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 1.6%, MDD -51.6%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=28 |
1.2% | -87.9% | 0.26 | 0.01 | 1.2x | 10 | 8% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
-2.8% | -70.7% | 0.23 | -0.04 | 0.7x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=15, mult=4 |
1.6% | -51.6% | 0.20 | 0.03 | 1.3x | 10 | 2% |
| Donchian 채널 돌파 entryN=42, exitN=6 |
-1.9% | -84.9% | 0.17 | -0.02 | 0.8x | 36 | 7% |
| Supertrend period=19, mult=5 |
-20.7% | -98.9% | 0.01 | -0.21 | 0.0x | 38 | 19% |
| ROC 모멘텀 n=68, threshold=0.14 |
-17.7% | -98.9% | 0.01 | -0.18 | 0.1x | 80 | 18% |
| EMA 크로스오버 fast=3, slow=147 |
-10.3% | -93.2% | -0.09 | -0.11 | 0.2x | 24 | 10% |
| SMA 크로스오버 fast=57, slow=69 |
-28.3% | -99.9% | -0.12 | -0.28 | 0.0x | 64 | 27% |
| MACD fast=9, slow=43, signal=8 |
-44.4% | -100.0% | -0.12 | -0.44 | 0.0x | 226 | 59% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-41.3% | -100.0% | -0.17 | -0.41 | 0.0x | 386 | 37% |
| Buy and hold | -77.8% | -100.0% | -0.48 | -0.78 | 0.0x | 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, 39-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)