Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ironwood Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ironwood Pharmaceuticals, Inc.. 9 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 10.6%, MDD -19.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.9%, drawdown -96.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.6%, MDD -19.2%, Sharpe 0.58, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 77.6%p (CAGR 10.6%, MDD -19.2%, exposure 6%).
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=36 |
10.6% | -19.2% | 0.58 | 0.55 | 5.3x | 16 | 6% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
9.7% | -26.9% | 0.53 | 0.36 | 4.6x | 10 | 8% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=3.8 |
5.4% | -47.4% | 0.34 | 0.11 | 2.4x | 16 | 12% |
| SMA 크로스오버 fast=33, slow=71 |
0.7% | -78.5% | 0.20 | 0.01 | 1.1x | 71 | 47% |
| Donchian 채널 돌파 entryN=81, exitN=21 |
1.3% | -75.5% | 0.19 | 0.02 | 1.2x | 40 | 27% |
| Supertrend period=11, mult=2.5 |
-4.0% | -93.1% | 0.09 | -0.04 | 0.5x | 141 | 50% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.5% | -86.2% | 0.09 | -0.04 | 0.6x | 223 | 49% |
| EMA 크로스오버 fast=41, slow=99 |
-3.2% | -88.3% | 0.08 | -0.04 | 0.6x | 43 | 42% |
| ROC 모멘텀 n=57, threshold=0.05 |
-4.2% | -90.5% | 0.04 | -0.05 | 0.5x | 251 | 38% |
| MACD fast=19, slow=56, signal=13 |
-9.7% | -98.1% | -0.04 | -0.10 | 0.2x | 196 | 51% |
| Buy and hold | -4.9% | -96.8% | 0.19 | -0.05 | 0.4x | 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 ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)