Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neurogene Inc. backtest
10 trend-following strategies were compared on the full daily history of Neurogene Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.7%, MDD -34.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -98.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.5%, MDD -61.0%, Sharpe 0.53, 13% exposure.
CAGR reference leader: MACD — CAGR 19.6%, MDD -96.8%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.5%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 13.7%, MDD -34.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=17, mult=2.9 |
15.5% | -61.0% | 0.53 | 0.25 | 6.0x | 26 | 13% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
13.7% | -34.9% | 0.51 | 0.39 | 5.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=63, exitN=33 |
12.1% | -73.3% | 0.46 | 0.16 | 4.1x | 29 | 32% |
| Supertrend period=13, mult=5 |
1.5% | -88.8% | 0.42 | 0.02 | 1.2x | 27 | 49% |
| MACD fast=8, slow=15, signal=15 |
19.6% | -96.8% | 0.41 | 0.20 | 9.4x | 236 | 53% |
| ROC 모멘텀 n=90, threshold=0.02 |
6.4% | -82.9% | 0.39 | 0.08 | 2.2x | 145 | 45% |
| ADX / DI 방향성 period=20, threshold=35 |
6.0% | -51.9% | 0.31 | 0.12 | 2.1x | 10 | 8% |
| Parabolic SAR step=0.04, maxStep=0.2 |
2.2% | -97.8% | 0.29 | 0.02 | 1.3x | 398 | 46% |
| SMA 크로스오버 fast=23, slow=186 |
-10.1% | -93.2% | 0.23 | -0.11 | 0.3x | 25 | 45% |
| EMA 크로스오버 fast=51, slow=80 |
-11.5% | -93.6% | 0.20 | -0.12 | 0.2x | 27 | 42% |
| Buy and hold | -14.1% | -98.3% | 0.34 | -0.14 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 28-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average