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 7.2%, MDD -19.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.8%, drawdown -96.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.6%, MDD -63.3%, Sharpe 0.59, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.5%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 7.2%, MDD -19.5%, exposure 8%).
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 |
19.6% | -63.3% | 0.59 | 0.31 | 2.9x | 114 | 50% |
| SMA 크로스오버 fast=57, slow=76 |
15.4% | -60.6% | 0.53 | 0.25 | 2.4x | 28 | 49% |
| Parabolic SAR step=0.025, maxStep=0.28 |
11.4% | -80.4% | 0.47 | 0.14 | 1.9x | 152 | 48% |
| Supertrend period=8, mult=1 |
10.2% | -59.8% | 0.44 | 0.17 | 1.8x | 142 | 47% |
| ADX / DI 방향성 period=39, threshold=11 |
6.8% | -76.8% | 0.44 | 0.09 | 1.5x | 37 | 44% |
| Donchian 채널 돌파 entryN=92, exitN=27 |
10.2% | -44.6% | 0.43 | 0.23 | 1.8x | 8 | 27% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=3.9 |
7.4% | -29.9% | 0.42 | 0.25 | 1.5x | 6 | 8% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
7.2% | -19.5% | 0.42 | 0.37 | 1.5x | 6 | 8% |
| MACD fast=7, slow=25, signal=7 |
7.7% | -78.0% | 0.41 | 0.10 | 1.6x | 144 | 50% |
| EMA 크로스오버 fast=42, slow=199 |
7.0% | -44.6% | 0.36 | 0.16 | 1.5x | 3 | 27% |
| Buy and hold | -18.8% | -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