Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xenon Pharmaceuticals Inc. backtest
10 trend-following strategies were compared on the full daily history of Xenon Pharmaceuticals Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.4%, MDD -70.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.4%, drawdown -90.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.2%, MDD -17.2%, Sharpe 0.66, 4% exposure.
CAGR reference leader: Supertrend — CAGR 17.4%, MDD -70.0%, exposure 60%.
Return/drawdown alternative: Supertrend — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 73.3%p (CAGR 17.4%, MDD -70.0%, exposure 60%).
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=29, threshold=34 |
7.2% | -17.2% | 0.66 | 0.42 | 2.3x | 6 | 4% |
| Supertrend period=18, mult=5 |
17.4% | -70.0% | 0.54 | 0.25 | 6.5x | 19 | 60% |
| Donchian 채널 돌파 entryN=48, exitN=71 |
13.3% | -58.2% | 0.48 | 0.23 | 4.3x | 15 | 58% |
| SMA 크로스오버 fast=18, slow=120 |
9.3% | -58.4% | 0.43 | 0.16 | 2.8x | 25 | 50% |
| EMA 크로스오버 fast=13, slow=95 |
7.8% | -56.9% | 0.40 | 0.14 | 2.4x | 39 | 52% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
3.4% | -58.0% | 0.28 | 0.06 | 1.5x | 21 | 19% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=3.4 |
3.0% | -60.3% | 0.27 | 0.05 | 1.4x | 23 | 21% |
| ROC 모멘텀 n=109, threshold=-0.03 |
-1.1% | -79.3% | 0.21 | -0.01 | 0.9x | 125 | 58% |
| Parabolic SAR step=0.05, maxStep=0.14 |
-9.9% | -85.9% | 0.03 | -0.12 | 0.3x | 392 | 49% |
| MACD fast=19, slow=44, signal=11 |
-17.2% | -93.9% | -0.21 | -0.18 | 0.1x | 176 | 49% |
| Buy and hold | 16.4% | -90.4% | 0.54 | 0.18 | 5.9x | 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, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)