Trend-Following Backtester · Guide · backtest 한국어
equity · US
BioCryst Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of BioCryst Pharmaceuticals, 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 10.4%, MDD -54.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -97.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -54.4%, Sharpe 0.48, 10% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.7%, MDD -71.1%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 10.4%, MDD -54.4%, exposure 10%).
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=15, threshold=35 |
10.4% | -54.4% | 0.48 | 0.19 | 24.6x | 84 | 10% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=4 |
11.7% | -71.1% | 0.47 | 0.16 | 36.0x | 56 | 17% |
| Parabolic SAR step=0.01, maxStep=0.18 |
10.9% | -86.0% | 0.45 | 0.13 | 28.9x | 376 | 46% |
| EMA 크로스오버 fast=23, slow=77 |
10.7% | -80.6% | 0.45 | 0.13 | 27.3x | 115 | 45% |
| SMA 크로스오버 fast=14, slow=115 |
10.6% | -85.2% | 0.45 | 0.12 | 25.9x | 105 | 46% |
| ROC 모멘텀 n=144, threshold=-0.03 |
9.9% | -91.0% | 0.44 | 0.11 | 21.6x | 269 | 50% |
| Donchian 채널 돌파 entryN=80, exitN=24 |
10.6% | -83.0% | 0.44 | 0.13 | 26.2x | 75 | 26% |
| 볼린저 밴드 돌파 n=68, k=1.3 |
9.7% | -80.7% | 0.42 | 0.12 | 20.1x | 152 | 35% |
| MACD fast=17, slow=39, signal=19 |
6.2% | -87.8% | 0.38 | 0.07 | 7.1x | 370 | 53% |
| Supertrend period=19, mult=2.9 |
4.0% | -87.5% | 0.32 | 0.05 | 3.5x | 214 | 41% |
| Buy and hold | 1.0% | -97.7% | 0.43 | 0.01 | 1.4x | 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, 15-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)