Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dianthus Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dianthus Therapeutics, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.1%, MDD -39.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.1%, MDD -46.0%, Sharpe 0.83, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 41.3%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 25.1%, MDD -39.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=75 |
32.1% | -46.0% | 0.83 | 0.70 | 9.6x | 11 | 40% |
| ADX / DI 방향성 period=37, threshold=17 |
25.1% | -39.3% | 0.82 | 0.64 | 6.1x | 20 | 20% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=2.9 |
25.0% | -42.2% | 0.81 | 0.59 | 6.1x | 11 | 17% |
| SMA 크로스오버 fast=7, slow=115 |
27.6% | -65.1% | 0.74 | 0.42 | 7.2x | 19 | 43% |
| Donchian 채널 돌파 entryN=90, exitN=8 |
19.0% | -53.7% | 0.69 | 0.35 | 4.1x | 21 | 13% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
22.4% | -57.9% | 0.69 | 0.39 | 5.2x | 29 | 27% |
| ROC 모멘텀 n=59, threshold=-0.01 |
19.1% | -71.6% | 0.59 | 0.27 | 4.1x | 89 | 44% |
| Supertrend period=25, mult=4.3 |
9.0% | -85.3% | 0.42 | 0.11 | 2.0x | 19 | 46% |
| MACD fast=13, slow=58, signal=8 |
1.8% | -89.6% | 0.32 | 0.02 | 1.2x | 135 | 49% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.8% | -91.4% | 0.14 | -0.07 | 0.6x | 65 | 49% |
| Buy and hold | -9.2% | -98.2% | 0.32 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 75-day EMA
- Sell — Sell when the 31-day EMA falls below the 75-day EMA