Trend-Following Backtester · Guide · backtest 한국어
equity · US
Collegium Pharmaceutical, Inc. backtest
10 trend-following strategies were compared on the full daily history of Collegium Pharmaceutical, Inc.. 0 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 9.7%, MDD -27.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -73.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.7%, MDD -27.7%, Sharpe 0.56, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 45.9%p (CAGR 9.7%, MDD -27.7%, exposure 13%).
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=20, threshold=25 |
9.7% | -27.7% | 0.56 | 0.35 | 2.8x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=3.5 |
7.3% | -32.1% | 0.45 | 0.23 | 2.2x | 14 | 13% |
| Donchian 채널 돌파 entryN=115, exitN=6 |
7.7% | -46.7% | 0.44 | 0.17 | 2.3x | 28 | 14% |
| ROC 모멘텀 n=122, threshold=0.03 |
5.0% | -62.0% | 0.31 | 0.08 | 1.7x | 80 | 43% |
| SMA 크로스오버 fast=73, slow=150 |
4.4% | -65.4% | 0.30 | 0.07 | 1.6x | 22 | 45% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
4.0% | -35.7% | 0.30 | 0.11 | 1.6x | 14 | 11% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.2% | -79.4% | 0.15 | -0.03 | 0.8x | 162 | 51% |
| EMA 크로스오버 fast=50, slow=132 |
-2.1% | -59.6% | 0.13 | -0.04 | 0.8x | 20 | 47% |
| Supertrend period=9, mult=3.6 |
-2.4% | -72.5% | 0.13 | -0.03 | 0.8x | 51 | 49% |
| MACD fast=18, slow=31, signal=11 |
-6.6% | -82.3% | 0.03 | -0.08 | 0.5x | 170 | 50% |
| Buy and hold | 9.8% | -73.6% | 0.44 | 0.13 | 2.9x | 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, 20-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)