Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axogen, Inc. backtest
10 trend-following strategies were compared on the full daily history of Axogen, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -98.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -7.4%, MDD -100.0%, Sharpe 0.45, 81% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -94.8%, exposure 46%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=77 |
-7.4% | -100.0% | 0.45 | -0.07 | 0.0x | 129 | 81% |
| SMA 크로스오버 fast=109, slow=205 |
6.0% | -94.8% | 0.44 | 0.06 | 10.1x | 55 | 46% |
| EMA 크로스오버 fast=57, slow=217 |
0.8% | -98.2% | 0.36 | 0.01 | 1.4x | 65 | 46% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-5.2% | -99.6% | 0.29 | -0.05 | 0.1x | 225 | 45% |
| ADX / DI 방향성 period=31, threshold=25 |
4.1% | -78.5% | 0.28 | 0.05 | 4.8x | 66 | 11% |
| Supertrend period=23, mult=4.7 |
-13.3% | -100.0% | 0.19 | -0.13 | 0.0x | 137 | 48% |
| 볼린저 밴드 돌파 n=95, k=2.5 |
-3.5% | -98.9% | 0.16 | -0.04 | 0.2x | 79 | 26% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=7, mult=4 |
-1.5% | -92.6% | 0.09 | -0.02 | 0.6x | 52 | 10% |
| MACD fast=18, slow=36, signal=19 |
-29.2% | -100.0% | 0.01 | -0.29 | 0.0x | 550 | 50% |
| ROC 모멘텀 n=125, threshold=0.02 |
-31.3% | -100.0% | -0.12 | -0.31 | 0.0x | 581 | 47% |
| Buy and hold | 6.1% | -98.5% | 0.62 | 0.06 | 10.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 77 days