Trend-Following Backtester · Guide · backtest 한국어
equity · US
NeoGenomics, Inc. backtest
10 trend-following strategies were compared on the full daily history of NeoGenomics, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.4%, MDD -54.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.1%, drawdown -91.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.4%, MDD -54.1%, Sharpe 0.66, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 24.4%, MDD -54.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=87 |
24.4% | -54.1% | 0.66 | 0.45 | 134.6x | 77 | 53% |
| Donchian 채널 돌파 entryN=15, exitN=42 |
22.3% | -73.9% | 0.63 | 0.30 | 91.7x | 77 | 70% |
| EMA 크로스오버 fast=30, slow=67 |
21.3% | -57.1% | 0.62 | 0.37 | 75.9x | 55 | 54% |
| MACD fast=54, slow=69, signal=38 |
17.7% | -82.7% | 0.56 | 0.21 | 38.7x | 99 | 48% |
| Supertrend period=15, mult=4.7 |
16.9% | -69.5% | 0.55 | 0.24 | 33.3x | 65 | 58% |
| ADX / DI 방향성 period=28, threshold=12 |
9.3% | -83.0% | 0.43 | 0.11 | 7.3x | 229 | 44% |
| ROC 모멘텀 n=51, threshold=-0.04 |
6.9% | -82.5% | 0.40 | 0.08 | 4.4x | 351 | 59% |
| 볼린저 밴드 돌파 n=50, k=1.6 |
7.8% | -83.2% | 0.39 | 0.09 | 5.4x | 111 | 37% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=1.2 |
3.0% | -87.5% | 0.31 | 0.03 | 1.9x | 169 | 43% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-7.5% | -98.5% | 0.16 | -0.08 | 0.2x | 361 | 50% |
| Buy and hold | 18.1% | -91.9% | 0.61 | 0.20 | 41.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 15-day average falls below the 87-day average