Trend-Following Backtester · Guide · backtest 한국어
equity · US
Doximity, Inc. backtest
10 trend-following strategies were compared on the full daily history of Doximity, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -17.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -82.3%).
Sharpe leader (same as main): Supertrend — CAGR 11.9%, MDD -50.4%, Sharpe 0.46, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 3.4%, MDD -17.4%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=5 |
11.9% | -50.4% | 0.46 | 0.24 | 1.8x | 14 | 33% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=9, mult=4 |
8.6% | -32.4% | 0.42 | 0.26 | 1.5x | 6 | 18% |
| EMA 크로스오버 fast=57, slow=159 |
9.4% | -44.2% | 0.41 | 0.21 | 1.6x | 4 | 31% |
| SMA 크로스오버 fast=43, slow=132 |
7.1% | -48.8% | 0.35 | 0.15 | 1.4x | 9 | 36% |
| ADX / DI 방향성 period=19, threshold=34 |
3.4% | -17.4% | 0.30 | 0.20 | 1.2x | 4 | 4% |
| Donchian 채널 돌파 entryN=60, exitN=68 |
3.0% | -49.8% | 0.27 | 0.06 | 1.2x | 7 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.1% | -58.5% | 0.23 | -0.00 | 1.0x | 57 | 49% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
2.1% | -43.1% | 0.20 | 0.05 | 1.1x | 7 | 15% |
| ROC 모멘텀 n=124, threshold=0.11 |
1.1% | -39.0% | 0.17 | 0.03 | 1.1x | 32 | 26% |
| MACD fast=17, slow=35, signal=19 |
-2.4% | -56.0% | 0.17 | -0.04 | 0.9x | 49 | 50% |
| Buy and hold | -12.5% | -82.3% | 0.14 | -0.15 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)