Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nektar Therapeutics backtest
10 trend-following strategies were compared on the full daily history of Nektar Therapeutics. 8 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 7.9%, MDD -36.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -99.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -36.8%, Sharpe 0.54, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.8%, MDD -75.5%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 62.8%p (CAGR 7.9%, MDD -36.8%, exposure 4%).
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=22, threshold=39 |
7.9% | -36.8% | 0.54 | 0.21 | 11.4x | 20 | 4% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
9.2% | -59.9% | 0.49 | 0.15 | 17.3x | 34 | 10% |
| ROC 모멘텀 n=198, threshold=-0.03 |
9.8% | -75.5% | 0.43 | 0.13 | 20.5x | 229 | 54% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=3.8 |
7.0% | -64.3% | 0.39 | 0.11 | 8.9x | 68 | 16% |
| SMA 크로스오버 fast=46, slow=165 |
7.2% | -79.9% | 0.38 | 0.09 | 9.5x | 51 | 49% |
| EMA 크로스오버 fast=35, slow=151 |
6.9% | -76.8% | 0.37 | 0.09 | 8.6x | 53 | 49% |
| Supertrend period=28, mult=3.6 |
7.2% | -90.8% | 0.36 | 0.08 | 9.5x | 165 | 45% |
| Parabolic SAR step=0.035, maxStep=0.14 |
4.0% | -97.2% | 0.32 | 0.04 | 3.5x | 837 | 48% |
| Donchian 채널 돌파 entryN=18, exitN=34 |
0.2% | -98.0% | 0.27 | 0.00 | 1.1x | 153 | 62% |
| MACD fast=12, slow=41, signal=12 |
-0.3% | -97.6% | 0.26 | -0.00 | 0.9x | 479 | 52% |
| Buy and hold | 0.7% | -99.6% | 0.36 | 0.01 | 1.3x | 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, 22-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)