Trend-Following Backtester · Guide · backtest 한국어
equity · US
Altimmune, Inc. backtest
10 trend-following strategies were compared on the full daily history of Altimmune, 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 34.3%, MDD -55.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.4%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.3%, MDD -55.0%, Sharpe 0.87, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 67.7%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 34.3%, MDD -55.0%, exposure 11%).
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=38, threshold=22 |
34.3% | -55.0% | 0.87 | 0.62 | 15.4x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=4 |
25.4% | -63.0% | 0.71 | 0.40 | 8.1x | 8 | 11% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
18.3% | -85.4% | 0.58 | 0.21 | 4.8x | 16 | 12% |
| SMA 크로스오버 fast=40, slow=66 |
10.5% | -92.0% | 0.49 | 0.11 | 2.5x | 35 | 33% |
| Supertrend period=12, mult=3.6 |
5.5% | -82.6% | 0.44 | 0.07 | 1.6x | 37 | 33% |
| ROC 모멘텀 n=68, threshold=0.06 |
2.1% | -86.5% | 0.39 | 0.02 | 1.2x | 95 | 28% |
| EMA 크로스오버 fast=12, slow=80 |
2.4% | -86.0% | 0.36 | 0.03 | 1.3x | 27 | 24% |
| Donchian 채널 돌파 entryN=35, exitN=20 |
-4.4% | -94.5% | 0.34 | -0.05 | 0.7x | 28 | 27% |
| Parabolic SAR step=0.045, maxStep=0.36 |
-11.0% | -90.8% | 0.25 | -0.12 | 0.3x | 277 | 42% |
| MACD fast=8, slow=58, signal=7 |
-21.9% | -95.1% | 0.17 | -0.23 | 0.1x | 187 | 54% |
| Buy and hold | -33.4% | -98.9% | 0.25 | -0.34 | 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, 38-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)