Trend-Following Backtester · Guide · backtest 한국어
equity · BE
argenx SE backtest
10 trend-following strategies were compared on the full daily history of argenx SE. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 45.7%, drawdown -39.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 41.1%, MDD -40.1%, Sharpe 1.01, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, exitN=78 |
41.1% | -40.1% | 1.01 | 1.02 | 63.4x | 25 | 93% |
| EMA 크로스오버 fast=56, slow=200 |
37.3% | -39.3% | 0.95 | 0.95 | 45.6x | 11 | 85% |
| SMA 크로스오버 fast=27, slow=144 |
29.6% | -45.9% | 0.85 | 0.64 | 22.8x | 23 | 73% |
| MACD fast=11, slow=40, signal=16 |
24.8% | -35.0% | 0.82 | 0.71 | 14.4x | 144 | 48% |
| ROC 모멘텀 n=106, threshold=-0.04 |
26.5% | -43.0% | 0.79 | 0.62 | 16.9x | 81 | 80% |
| Supertrend period=11, mult=5 |
25.1% | -31.5% | 0.78 | 0.80 | 14.9x | 37 | 70% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
23.2% | -37.7% | 0.77 | 0.61 | 12.3x | 68 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
20.8% | -43.4% | 0.70 | 0.48 | 9.7x | 101 | 58% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=10, mult=1.7 |
17.2% | -34.1% | 0.64 | 0.50 | 6.7x | 92 | 45% |
| ADX / DI 방향성 period=11, threshold=14 |
14.1% | -58.9% | 0.54 | 0.24 | 4.9x | 258 | 56% |
| Buy and hold | 45.7% | -39.3% | 1.06 | 1.16 | 93.8x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 78 days