Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tenax Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tenax Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -70.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.3%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -70.7%, Sharpe 0.32, 9% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 39.9%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 5.6%, MDD -70.7%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=97, exitN=10 |
5.6% | -70.7% | 0.32 | 0.08 | 5.8x | 43 | 9% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
2.7% | -83.8% | 0.27 | 0.03 | 2.4x | 62 | 8% |
| MACD fast=46, slow=88, signal=41 |
-17.6% | -100.0% | 0.24 | -0.18 | 0.0x | 135 | 54% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=3.8 |
1.1% | -82.5% | 0.23 | 0.01 | 1.4x | 49 | 10% |
| SMA 크로스오버 fast=53, slow=154 |
-5.7% | -97.2% | 0.19 | -0.06 | 0.2x | 50 | 31% |
| ADX / DI 방향성 period=13, threshold=28 |
-7.0% | -98.1% | 0.16 | -0.07 | 0.1x | 216 | 22% |
| EMA 크로스오버 fast=37, slow=44 |
-12.8% | -99.4% | 0.13 | -0.13 | 0.0x | 105 | 30% |
| Supertrend period=17, mult=2.9 |
-19.0% | -99.9% | 0.07 | -0.19 | 0.0x | 176 | 30% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-26.3% | -100.0% | 0.02 | -0.26 | 0.0x | 476 | 39% |
| ROC 모멘텀 n=64, threshold=0.14 |
-16.7% | -99.8% | -0.00 | -0.17 | 0.0x | 336 | 24% |
| Buy and hold | -34.3% | -100.0% | 0.26 | -0.34 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 97 days
- Sell — Sell when price breaks below the lowest low of the last 10 days