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 47.3%, drawdown -39.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 42.6%, MDD -40.1%, Sharpe 1.03, 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 |
42.6% | -40.1% | 1.03 | 1.06 | 74.5x | 25 | 93% |
| EMA 크로스오버 fast=56, slow=200 |
38.8% | -39.3% | 0.98 | 0.99 | 53.5x | 11 | 85% |
| SMA 크로스오버 fast=27, slow=144 |
31.1% | -45.9% | 0.87 | 0.68 | 26.8x | 23 | 74% |
| MACD fast=11, slow=40, signal=16 |
24.8% | -35.0% | 0.82 | 0.71 | 14.7x | 145 | 48% |
| ROC 모멘텀 n=106, threshold=-0.04 |
27.9% | -43.0% | 0.81 | 0.65 | 19.9x | 81 | 80% |
| Supertrend period=11, mult=5 |
26.6% | -31.5% | 0.81 | 0.84 | 17.5x | 37 | 70% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
23.2% | -37.7% | 0.77 | 0.61 | 12.6x | 69 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
20.4% | -43.4% | 0.69 | 0.47 | 9.6x | 103 | 58% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=10, mult=1.7 |
17.2% | -34.1% | 0.64 | 0.50 | 6.9x | 93 | 45% |
| ADX / DI 방향성 period=11, threshold=14 |
14.1% | -58.9% | 0.54 | 0.24 | 4.9x | 261 | 56% |
| Buy and hold | 47.3% | -39.3% | 1.08 | 1.20 | 110.3x | 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