Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regencell Bioscience Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Regencell Bioscience Holdings Limited. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
8 of 10 beat buy and hold (CAGR 79.1%, drawdown -93.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 198.6%, MDD -86.7%, Sharpe 1.08, 13% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, threshold=41 |
198.6% | -86.7% | 1.08 | 2.29 | 272.2x | 4 | 13% |
| Donchian 채널 돌파 entryN=11, exitN=100 |
117.9% | -90.6% | 1.01 | 1.30 | 54.1x | 14 | 82% |
| Supertrend period=24, mult=4.3 |
120.1% | -92.8% | 0.94 | 1.29 | 57.0x | 24 | 33% |
| EMA 크로스오버 fast=39, slow=68 |
91.5% | -86.7% | 0.93 | 1.05 | 27.9x | 12 | 40% |
| MACD fast=18, slow=35, signal=18 |
121.3% | -81.7% | 0.92 | 1.49 | 58.6x | 47 | 45% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.9 |
105.9% | -79.2% | 0.91 | 1.34 | 40.5x | 6 | 8% |
| SMA 크로스오버 fast=17, slow=102 |
79.2% | -86.7% | 0.88 | 0.91 | 19.9x | 18 | 33% |
| ROC 모멘텀 n=70, threshold=0.11 |
72.2% | -88.1% | 0.88 | 0.82 | 16.2x | 36 | 34% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
79.3% | -84.0% | 0.85 | 0.94 | 20.0x | 10 | 12% |
| Parabolic SAR step=0.025, maxStep=0.34 |
57.1% | -92.7% | 0.81 | 0.62 | 10.1x | 95 | 41% |
| Buy and hold | 79.1% | -93.9% | 0.99 | 0.84 | 19.8x | 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, 39-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)