Trend-Following Backtester · Guide · backtest 한국어
equity · US
Solid Biosciences Inc. backtest
10 trend-following strategies were compared on the full daily history of Solid Biosciences Inc.. 10 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 25.3%, MDD -59.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.0%, drawdown -99.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.3%, MDD -59.0%, Sharpe 0.68, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 59.3%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 25.3%, MDD -59.0%, exposure 16%).
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=31 |
25.3% | -59.0% | 0.68 | 0.43 | 6.9x | 18 | 16% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=0.8 |
23.1% | -67.4% | 0.61 | 0.34 | 6.0x | 65 | 33% |
| MACD fast=11, slow=14, signal=11 |
21.3% | -76.1% | 0.61 | 0.28 | 5.3x | 169 | 52% |
| ROC 모멘텀 n=14, threshold=0.02 |
21.0% | -81.2% | 0.59 | 0.26 | 5.2x | 207 | 39% |
| EMA 크로스오버 fast=6, slow=26 |
20.5% | -81.1% | 0.59 | 0.25 | 5.0x | 79 | 39% |
| Parabolic SAR step=0.01, maxStep=0.36 |
14.4% | -77.2% | 0.52 | 0.19 | 3.2x | 105 | 44% |
| 볼린저 밴드 돌파 n=41, k=1 |
12.4% | -68.1% | 0.48 | 0.18 | 2.7x | 60 | 33% |
| Supertrend period=16, mult=0.9 |
9.8% | -81.3% | 0.45 | 0.12 | 2.2x | 199 | 40% |
| Donchian 채널 돌파 entryN=49, exitN=28 |
4.2% | -80.7% | 0.43 | 0.05 | 1.4x | 19 | 29% |
| SMA 크로스오버 fast=11, slow=56 |
-4.8% | -87.1% | 0.32 | -0.05 | 0.7x | 33 | 39% |
| Buy and hold | -34.0% | -99.8% | 0.20 | -0.34 | 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, 22-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)