Trend-Following Backtester · Guide · backtest 한국어
equity · US
Agios Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Agios Pharmaceuticals, Inc.. 6 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 3.3%, MDD -14.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.4%, drawdown -87.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -14.6%, Sharpe 0.40, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.2%, MDD -69.0%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 3.3%, MDD -14.6%, exposure 1%).
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=22, threshold=39 |
3.3% | -14.6% | 0.40 | 0.23 | 1.5x | 2 | 1% |
| Donchian 채널 돌파 entryN=27, exitN=50 |
4.6% | -69.8% | 0.35 | 0.07 | 1.8x | 37 | 60% |
| 볼린저 밴드 돌파 n=49, k=0.9 |
5.2% | -69.0% | 0.34 | 0.08 | 1.9x | 96 | 41% |
| SMA 크로스오버 fast=90, slow=144 |
3.4% | -74.5% | 0.30 | 0.05 | 1.5x | 27 | 50% |
| Supertrend period=22, mult=3.7 |
1.3% | -66.4% | 0.25 | 0.02 | 1.2x | 58 | 43% |
| ROC 모멘텀 n=134, threshold=-0.02 |
1.2% | -76.2% | 0.25 | 0.02 | 1.2x | 123 | 48% |
| EMA 크로스오버 fast=53, slow=132 |
-2.9% | -86.8% | 0.16 | -0.03 | 0.7x | 21 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.9 |
-0.4% | -48.7% | 0.08 | -0.01 | 1.0x | 20 | 9% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-10.1% | -92.1% | -0.00 | -0.11 | 0.2x | 296 | 50% |
| MACD fast=19, slow=49, signal=19 |
-12.2% | -94.3% | -0.03 | -0.13 | 0.2x | 138 | 53% |
| Buy and hold | -0.4% | -87.4% | 0.32 | -0.00 | 1.0x | 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, 22-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)