Trend-Following Backtester · Guide · backtest 한국어
equity · US
Doximity, Inc. backtest
10 trend-following strategies were compared on the full daily history of Doximity, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -17.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.7%, drawdown -82.3%).
Sharpe leader (same as main): Supertrend — CAGR 14.4%, MDD -50.4%, Sharpe 0.51, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 3.5%, MDD -17.4%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=5 |
14.4% | -50.4% | 0.51 | 0.29 | 2.0x | 12 | 33% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=9, mult=4 |
8.7% | -32.4% | 0.43 | 0.27 | 1.5x | 6 | 18% |
| EMA 크로스오버 fast=57, slow=159 |
9.6% | -44.2% | 0.41 | 0.22 | 1.6x | 4 | 32% |
| SMA 크로스오버 fast=43, slow=132 |
7.3% | -48.8% | 0.36 | 0.15 | 1.4x | 8 | 36% |
| ADX / DI 방향성 period=19, threshold=34 |
3.5% | -17.4% | 0.31 | 0.20 | 1.2x | 4 | 4% |
| Donchian 채널 돌파 entryN=60, exitN=68 |
3.7% | -49.8% | 0.29 | 0.07 | 1.2x | 6 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.5% | -53.4% | 0.25 | 0.01 | 1.0x | 56 | 49% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
2.8% | -36.0% | 0.23 | 0.08 | 1.1x | 6 | 14% |
| ROC 모멘텀 n=124, threshold=0.11 |
1.2% | -39.0% | 0.18 | 0.03 | 1.1x | 32 | 27% |
| MACD fast=17, slow=35, signal=19 |
-7.0% | -56.0% | 0.05 | -0.13 | 0.7x | 49 | 49% |
| Buy and hold | -16.7% | -82.3% | 0.06 | -0.20 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)