Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tandem Diabetes Care, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tandem Diabetes Care, 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 14.7%, MDD -21.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.5%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.7%, MDD -21.5%, Sharpe 0.97, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 27.8%, MDD -50.2%, exposure 32%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 77.8%p (CAGR 14.7%, MDD -21.5%, exposure 4%).
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=24, threshold=38 |
14.7% | -21.5% | 0.97 | 0.68 | 5.7x | 8 | 4% |
| Donchian 채널 돌파 entryN=111, exitN=11 |
19.5% | -31.6% | 0.89 | 0.62 | 9.6x | 22 | 13% |
| SMA 크로스오버 fast=55, slow=129 |
27.8% | -50.2% | 0.82 | 0.55 | 22.5x | 16 | 32% |
| ROC 모멘텀 n=71, threshold=0.14 |
23.1% | -46.7% | 0.77 | 0.49 | 14.0x | 84 | 25% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
14.0% | -49.3% | 0.69 | 0.28 | 5.3x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=3.6 |
10.5% | -51.0% | 0.65 | 0.21 | 3.6x | 14 | 6% |
| EMA 크로스오버 fast=41, slow=165 |
19.3% | -56.3% | 0.65 | 0.34 | 9.4x | 10 | 35% |
| Supertrend period=25, mult=4.9 |
9.9% | -83.2% | 0.43 | 0.12 | 3.3x | 36 | 34% |
| MACD fast=11, slow=17, signal=11 |
2.2% | -83.8% | 0.30 | 0.03 | 1.3x | 235 | 54% |
| Parabolic SAR step=0.015, maxStep=0.32 |
2.1% | -81.3% | 0.29 | 0.03 | 1.3x | 223 | 49% |
| Buy and hold | -16.5% | -99.3% | 0.14 | -0.17 | 0.1x | 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, 24-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)