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 -5.8%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.3%, MDD -19.8%, Sharpe 0.92, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.0%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 |
26.3% | -19.8% | 0.92 | 1.33 | 4.6x | 15 | 16% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=3.7 |
3.4% | -14.6% | 0.35 | 0.23 | 1.2x | 2 | 3% |
| Supertrend period=28, mult=4.6 |
5.5% | -71.5% | 0.35 | 0.08 | 1.4x | 19 | 39% |
| SMA 크로스오버 fast=19, slow=60 |
3.1% | -72.0% | 0.29 | 0.04 | 1.2x | 25 | 39% |
| Donchian 채널 돌파 entryN=115, exitN=5 |
3.5% | -23.4% | 0.28 | 0.15 | 1.3x | 11 | 6% |
| MACD fast=18, slow=44, signal=12 |
2.2% | -75.1% | 0.28 | 0.03 | 1.2x | 75 | 53% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
0.4% | -69.7% | 0.21 | 0.01 | 1.0x | 73 | 35% |
| EMA 크로스오버 fast=42, slow=51 |
-0.7% | -73.9% | 0.19 | -0.01 | 1.0x | 17 | 35% |
| ROC 모멘텀 n=14, threshold=-0.01 |
-2.7% | -75.2% | 0.18 | -0.04 | 0.8x | 171 | 51% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-18.7% | -87.2% | -0.18 | -0.21 | 0.3x | 165 | 49% |
| Buy and hold | -5.8% | -90.2% | 0.26 | -0.06 | 0.7x | 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)