Trend-Following Backtester · Guide · backtest 한국어
equity · US
Schrodinger, Inc. backtest
10 trend-following strategies were compared on the full daily history of Schrodinger, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.4%, MDD -14.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.4%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.0%, MDD -19.8%, Sharpe 0.94, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 36.4%p higher than buy and hold, while drawdown improves by 70.4%p (CAGR 3.4%, MDD -14.6%, exposure 3%).
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=29 |
27.0% | -19.8% | 0.94 | 1.37 | 4.7x | 14 | 16% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=3.7 |
3.4% | -14.6% | 0.36 | 0.24 | 1.2x | 2 | 3% |
| Donchian 채널 돌파 entryN=115, exitN=5 |
3.9% | -23.4% | 0.31 | 0.17 | 1.3x | 10 | 6% |
| Supertrend period=28, mult=4.6 |
1.5% | -71.5% | 0.26 | 0.02 | 1.1x | 19 | 38% |
| MACD fast=18, slow=44, signal=12 |
0.9% | -75.1% | 0.25 | 0.01 | 1.1x | 74 | 52% |
| SMA 크로스오버 fast=19, slow=60 |
-0.8% | -72.0% | 0.19 | -0.01 | 0.9x | 25 | 38% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
-1.0% | -69.7% | 0.18 | -0.01 | 0.9x | 72 | 35% |
| ROC 모멘텀 n=14, threshold=-0.01 |
-5.3% | -75.2% | 0.12 | -0.07 | 0.7x | 170 | 51% |
| EMA 크로스오버 fast=42, slow=51 |
-4.5% | -73.9% | 0.09 | -0.06 | 0.7x | 17 | 34% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-20.3% | -87.2% | -0.22 | -0.23 | 0.2x | 162 | 48% |
| Buy and hold | -9.4% | -90.2% | 0.20 | -0.10 | 0.5x | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)