Trend-Following Backtester · Guide · backtest 한국어
equity · US
AXT Inc backtest
10 trend-following strategies were compared on the full daily history of AXT Inc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR 6.3%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.6%, MDD -80.5%, Sharpe 0.67, 49% exposure.
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=64, exitN=70 |
25.6% | -80.5% | 0.67 | 0.32 | 631.0x | 42 | 49% |
| SMA 크로스오버 fast=51, slow=180 |
22.4% | -84.9% | 0.64 | 0.26 | 303.1x | 31 | 45% |
| Supertrend period=15, mult=4.7 |
18.4% | -88.2% | 0.58 | 0.21 | 119.7x | 79 | 46% |
| ROC 모멘텀 n=74, threshold=0.02 |
17.2% | -87.9% | 0.56 | 0.20 | 89.6x | 276 | 45% |
| EMA 크로스오버 fast=28, slow=62 |
16.5% | -96.1% | 0.54 | 0.17 | 74.7x | 86 | 46% |
| ADX / DI 방향성 period=47, threshold=14 |
15.1% | -83.7% | 0.54 | 0.18 | 53.9x | 99 | 28% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
15.2% | -81.3% | 0.53 | 0.19 | 55.2x | 92 | 29% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=2.3 |
15.1% | -81.9% | 0.53 | 0.18 | 53.7x | 116 | 29% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.9% | -85.1% | 0.40 | 0.08 | 6.6x | 219 | 49% |
| MACD fast=10, slow=26, signal=12 |
0.7% | -96.7% | 0.30 | 0.01 | 1.2x | 504 | 52% |
| Buy and hold | 6.3% | -98.6% | 0.47 | 0.06 | 5.7x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 70 days