Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jade Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Jade Biosciences, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -33.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -51.8%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.7%, MDD -34.1%, Sharpe 0.79, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.9%, MDD -44.6%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 75.5%p higher than buy and hold, while drawdown improves by 65.2%p (CAGR 8.4%, MDD -33.3%, exposure 16%).
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=10, threshold=39 |
23.7% | -34.1% | 0.79 | 0.69 | 2.9x | 24 | 13% |
| Donchian 채널 돌파 entryN=47, exitN=61 |
29.9% | -44.6% | 0.74 | 0.67 | 3.8x | 7 | 53% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=9, mult=2.3 |
12.1% | -34.0% | 0.53 | 0.36 | 1.8x | 14 | 15% |
| ROC 모멘텀 n=116, threshold=0.09 |
14.8% | -61.6% | 0.52 | 0.24 | 2.0x | 39 | 46% |
| SMA 크로스오버 fast=40, slow=121 |
14.3% | -52.2% | 0.52 | 0.27 | 2.0x | 7 | 49% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
8.4% | -33.3% | 0.41 | 0.25 | 1.5x | 12 | 16% |
| MACD fast=9, slow=54, signal=6 |
-21.0% | -96.5% | 0.40 | -0.22 | 0.3x | 86 | 55% |
| EMA 크로스오버 fast=33, slow=81 |
6.6% | -49.6% | 0.38 | 0.13 | 1.4x | 9 | 38% |
| Supertrend period=26, mult=4.7 |
-0.1% | -75.1% | 0.29 | -0.00 | 1.0x | 12 | 40% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-31.1% | -96.6% | 0.20 | -0.32 | 0.2x | 82 | 44% |
| Buy and hold | -51.8% | -99.4% | 0.23 | -0.52 | 0.0x | 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, 10-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)