Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lexicon Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lexicon 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 3.0%, MDD -20.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -14.3%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -20.9%, Sharpe 0.21, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 79.0%p (CAGR 3.0%, MDD -20.9%, exposure 1%).
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=18, threshold=54 |
3.0% | -20.9% | 0.21 | 0.15 | 2.2x | 2 | 1% |
| Supertrend period=15, mult=4.1 |
-6.3% | -99.1% | 0.19 | -0.06 | 0.2x | 99 | 46% |
| Donchian 채널 돌파 entryN=30, exitN=51 |
-10.4% | -99.2% | 0.13 | -0.11 | 0.1x | 77 | 54% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=3.9 |
1.0% | -58.0% | 0.13 | 0.02 | 1.3x | 16 | 3% |
| MACD fast=12, slow=21, signal=11 |
-10.5% | -99.6% | 0.11 | -0.11 | 0.1x | 516 | 49% |
| SMA 크로스오버 fast=30, slow=116 |
-6.6% | -96.3% | 0.10 | -0.07 | 0.2x | 79 | 41% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-11.4% | -99.2% | 0.08 | -0.11 | 0.0x | 436 | 45% |
| 볼린저 밴드 돌파 n=53, k=2 |
-6.3% | -94.7% | 0.08 | -0.07 | 0.2x | 99 | 22% |
| EMA 크로스오버 fast=37, slow=159 |
-7.8% | -96.1% | 0.04 | -0.08 | 0.1x | 51 | 36% |
| ROC 모멘텀 n=45, threshold=0 |
-15.6% | -99.8% | -0.03 | -0.16 | 0.0x | 491 | 45% |
| Buy and hold | -14.3% | -99.9% | 0.25 | -0.14 | 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, 18-day) is ≥ 54
- Sell — Sell when direction flips or the trend weakens (ADX < 54)