Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arcus Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arcus Biosciences, Inc.. 5 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 6.7%, MDD -17.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.6%, drawdown -85.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.7%, MDD -17.5%, Sharpe 0.63, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.3%, MDD -70.0%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 6.7%, MDD -17.5%, exposure 3%).
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=28, threshold=34 |
6.7% | -17.5% | 0.63 | 0.38 | 1.7x | 2 | 3% |
| SMA 크로스오버 fast=38, slow=106 |
18.3% | -70.0% | 0.55 | 0.26 | 4.2x | 19 | 50% |
| EMA 크로스오버 fast=50, slow=209 |
12.9% | -69.3% | 0.47 | 0.19 | 2.8x | 9 | 37% |
| ROC 모멘텀 n=109, threshold=0.13 |
9.3% | -78.3% | 0.40 | 0.12 | 2.1x | 55 | 32% |
| MACD fast=9, slow=54, signal=13 |
7.5% | -65.5% | 0.38 | 0.12 | 1.9x | 141 | 50% |
| Donchian 채널 돌파 entryN=24, exitN=67 |
4.9% | -81.5% | 0.38 | 0.06 | 1.5x | 23 | 70% |
| Supertrend period=45, mult=4.2 |
-0.5% | -83.5% | 0.24 | -0.01 | 1.0x | 29 | 46% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.8% | -85.2% | 0.19 | -0.05 | 0.7x | 113 | 50% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
-9.2% | -84.9% | 0.04 | -0.11 | 0.4x | 97 | 37% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=23, mult=2.7 |
-4.6% | -68.6% | -0.04 | -0.07 | 0.7x | 30 | 13% |
| Buy and hold | 6.6% | -85.8% | 0.44 | 0.08 | 1.7x | 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, 28-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)