Trend-Following Backtester · Guide · backtest 한국어
equity · US
Definium Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Definium Therapeutics, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 33.7%, MDD -60.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 28.6%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 56.5%, MDD -65.2%, Sharpe 0.87, 36% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 65.3%, MDD -71.6%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.9%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 33.7%, MDD -60.5%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=87, exitN=55 |
56.5% | -65.2% | 0.87 | 0.87 | 80.2x | 7 | 36% |
| ADX / DI 방향성 period=31, threshold=24 |
33.7% | -60.5% | 0.84 | 0.56 | 17.2x | 15 | 18% |
| EMA 크로스오버 fast=41, slow=172 |
52.3% | -65.5% | 0.83 | 0.80 | 61.5x | 7 | 38% |
| SMA 크로스오버 fast=25, slow=333 |
52.3% | -65.2% | 0.83 | 0.80 | 61.5x | 7 | 42% |
| 볼린저 밴드 돌파 n=101, k=3.2 |
39.3% | -65.2% | 0.73 | 0.60 | 25.7x | 9 | 25% |
| ROC 모멘텀 n=149, threshold=0.06 |
65.3% | -71.6% | 0.70 | 0.91 | 137.1x | 65 | 41% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=9, mult=2.7 |
48.9% | -79.6% | 0.61 | 0.61 | 49.2x | 27 | 29% |
| Parabolic SAR step=0.01, maxStep=0.12 |
32.3% | -95.4% | 0.59 | 0.34 | 15.5x | 106 | 42% |
| Supertrend period=29, mult=4.6 |
26.1% | -94.7% | 0.53 | 0.28 | 9.7x | 37 | 46% |
| MACD fast=12, slow=17, signal=4 |
-24.5% | -100.0% | 0.34 | -0.25 | 0.1x | 316 | 51% |
| Buy and hold | 28.6% | -99.9% | 0.43 | 0.29 | 11.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 87 days
- Sell — Sell when price breaks below the lowest low of the last 55 days