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 35.3%, MDD -60.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 30.1%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 58.6%, MDD -65.2%, Sharpe 0.88, 35% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 67.6%, MDD -71.6%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.5%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 35.3%, MDD -60.5%, exposure 17%).
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 |
58.6% | -65.2% | 0.88 | 0.90 | 87.9x | 7 | 35% |
| ADX / DI 방향성 period=31, threshold=24 |
35.3% | -60.5% | 0.87 | 0.58 | 18.8x | 15 | 17% |
| EMA 크로스오버 fast=41, slow=172 |
54.3% | -65.5% | 0.85 | 0.83 | 67.3x | 7 | 37% |
| SMA 크로스오버 fast=25, slow=333 |
54.3% | -65.2% | 0.85 | 0.83 | 67.4x | 7 | 42% |
| 볼린저 밴드 돌파 n=101, k=3.2 |
41.0% | -65.2% | 0.74 | 0.63 | 28.1x | 9 | 24% |
| ROC 모멘텀 n=149, threshold=0.06 |
67.6% | -71.6% | 0.70 | 0.94 | 150.2x | 65 | 41% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=9, mult=2.7 |
50.8% | -79.6% | 0.62 | 0.64 | 53.9x | 27 | 29% |
| Parabolic SAR step=0.01, maxStep=0.12 |
34.5% | -95.4% | 0.60 | 0.36 | 17.7x | 104 | 43% |
| Supertrend period=29, mult=4.6 |
27.6% | -94.7% | 0.53 | 0.29 | 10.6x | 37 | 45% |
| MACD fast=12, slow=17, signal=4 |
-23.1% | -100.0% | 0.35 | -0.23 | 0.1x | 312 | 51% |
| Buy and hold | 30.1% | -99.9% | 0.43 | 0.30 | 12.8x | 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