Trend-Following Backtester · Guide · backtest 한국어
equity · US
Annexon, Inc. backtest
10 trend-following strategies were compared on the full daily history of Annexon, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -19.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.0%, drawdown -96.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.6%, MDD -63.3%, Sharpe 0.55, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.5%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 7.1%, MDD -19.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=18, threshold=-0.01 |
16.6% | -63.3% | 0.55 | 0.26 | 2.5x | 120 | 50% |
| SMA 크로스오버 fast=57, slow=76 |
15.0% | -60.6% | 0.52 | 0.25 | 2.3x | 29 | 48% |
| Parabolic SAR step=0.025, maxStep=0.28 |
9.9% | -80.4% | 0.44 | 0.12 | 1.8x | 154 | 48% |
| ADX / DI 방향성 period=39, threshold=11 |
6.5% | -76.8% | 0.43 | 0.09 | 1.5x | 38 | 45% |
| Donchian 채널 돌파 entryN=92, exitN=27 |
10.1% | -44.6% | 0.43 | 0.23 | 1.8x | 8 | 27% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=3.9 |
7.3% | -29.9% | 0.42 | 0.25 | 1.5x | 6 | 8% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
7.1% | -19.5% | 0.41 | 0.36 | 1.5x | 6 | 7% |
| Supertrend period=8, mult=1 |
7.5% | -59.8% | 0.40 | 0.13 | 1.6x | 146 | 47% |
| MACD fast=7, slow=25, signal=7 |
5.2% | -78.0% | 0.37 | 0.07 | 1.4x | 148 | 50% |
| EMA 크로스오버 fast=42, slow=199 |
6.3% | -44.6% | 0.35 | 0.14 | 1.5x | 3 | 28% |
| Buy and hold | -19.0% | -96.1% | 0.21 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -1%
- Sell — Sell when the 18-day return drops to -1% or below