Trend-Following Backtester · Guide · backtest 한국어
equity · US
ANI Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of ANI Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -53.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -98.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -58.1%, Sharpe 0.49, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.1%, MDD -53.1%, exposure 30%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 11.1%, MDD -53.1%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.9 |
10.6% | -58.1% | 0.49 | 0.18 | 14.2x | 42 | 21% |
| Donchian 채널 돌파 entryN=64, exitN=23 |
11.1% | -53.1% | 0.48 | 0.21 | 15.9x | 56 | 30% |
| 볼린저 밴드 돌파 n=75, k=2.3 |
10.8% | -55.1% | 0.47 | 0.20 | 14.8x | 50 | 28% |
| ADX / DI 방향성 period=35, threshold=18 |
8.0% | -59.6% | 0.40 | 0.13 | 7.5x | 88 | 25% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.3% | -72.3% | 0.40 | 0.11 | 8.1x | 389 | 50% |
| EMA 크로스오버 fast=35, slow=173 |
6.9% | -68.9% | 0.37 | 0.10 | 5.7x | 37 | 48% |
| SMA 크로스오버 fast=30, slow=119 |
6.7% | -82.3% | 0.36 | 0.08 | 5.4x | 57 | 45% |
| ROC 모멘텀 n=102, threshold=0.14 |
1.7% | -82.1% | 0.22 | 0.02 | 1.6x | 192 | 35% |
| Supertrend period=14, mult=3.8 |
-1.9% | -96.3% | 0.21 | -0.02 | 0.6x | 123 | 50% |
| MACD fast=9, slow=52, signal=17 |
-2.3% | -88.2% | 0.20 | -0.03 | 0.5x | 362 | 53% |
| Buy and hold | -3.7% | -98.8% | 0.33 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 58-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average