Trend-Following Backtester · Guide · backtest 한국어
equity · US
AngioDynamics, Inc. backtest
10 trend-following strategies were compared on the full daily history of AngioDynamics, Inc.. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -30.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.7%, drawdown -83.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -32.5%, Sharpe 0.27, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 0.9%, MDD -30.9%, exposure 3%).
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=27, threshold=26 |
2.9% | -32.5% | 0.27 | 0.09 | 1.9x | 23 | 7% |
| EMA 크로스오버 fast=57, slow=242 |
2.7% | -68.2% | 0.23 | 0.04 | 1.8x | 19 | 47% |
| SMA 크로스오버 fast=58, slow=111 |
1.0% | -73.6% | 0.19 | 0.01 | 1.3x | 65 | 47% |
| ROC 모멘텀 n=102, threshold=0.09 |
1.2% | -78.0% | 0.17 | 0.02 | 1.3x | 197 | 32% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3.9 |
0.9% | -30.9% | 0.13 | 0.03 | 1.2x | 14 | 3% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
0.7% | -50.1% | 0.12 | 0.01 | 1.2x | 29 | 12% |
| Donchian 채널 돌파 entryN=15, exitN=16 |
-1.9% | -79.4% | 0.10 | -0.02 | 0.7x | 151 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.8% | -85.8% | 0.07 | -0.03 | 0.5x | 175 | 48% |
| Supertrend period=12, mult=3 |
-3.7% | -88.3% | 0.04 | -0.04 | 0.4x | 131 | 48% |
| MACD fast=14, slow=58, signal=17 |
-4.6% | -89.5% | 0.02 | -0.05 | 0.4x | 260 | 51% |
| Buy and hold | 0.7% | -83.0% | 0.25 | 0.01 | 1.2x | 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, 27-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)