Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arcutis Biotherapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arcutis Biotherapeutics, Inc.. 7 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 14.8%, MDD -26.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.4%, drawdown -95.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.3%, MDD -42.2%, Sharpe 0.83, 11% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 14.8%, MDD -26.3%, exposure 7%).
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=29 |
23.3% | -42.2% | 0.83 | 0.55 | 4.0x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=9, mult=3.8 |
14.8% | -26.3% | 0.68 | 0.56 | 2.5x | 4 | 7% |
| 볼린저 밴드 돌파 n=40, k=3 |
17.4% | -42.9% | 0.65 | 0.41 | 2.9x | 14 | 16% |
| Donchian 채널 돌파 entryN=22, exitN=91 |
10.9% | -76.5% | 0.47 | 0.14 | 2.0x | 15 | 72% |
| SMA 크로스오버 fast=56, slow=158 |
11.6% | -57.3% | 0.46 | 0.20 | 2.1x | 7 | 46% |
| Supertrend period=12, mult=4.6 |
9.7% | -79.0% | 0.45 | 0.12 | 1.8x | 17 | 62% |
| EMA 크로스오버 fast=50, slow=210 |
10.8% | -53.3% | 0.45 | 0.20 | 2.0x | 5 | 49% |
| ROC 모멘텀 n=130, threshold=-0.03 |
1.2% | -64.7% | 0.26 | 0.02 | 1.1x | 52 | 48% |
| MACD fast=13, slow=51, signal=7 |
-0.2% | -72.1% | 0.25 | -0.00 | 1.0x | 114 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.2% | -84.1% | 0.23 | -0.03 | 0.9x | 58 | 50% |
| Buy and hold | 1.4% | -95.0% | 0.39 | 0.01 | 1.1x | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)