Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regeneron Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Regeneron Pharmaceuticals, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.8%, drawdown -91.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -88.0%, Sharpe 0.47, 83% 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=20, exitN=131 |
11.5% | -88.0% | 0.47 | 0.13 | 47.6x | 59 | 83% |
| 볼린저 밴드 돌파 n=39, k=2 |
7.9% | -77.1% | 0.38 | 0.10 | 14.6x | 181 | 34% |
| EMA 크로스오버 fast=68, slow=161 |
5.8% | -96.3% | 0.35 | 0.06 | 7.3x | 45 | 58% |
| SMA 크로스오버 fast=59, slow=174 |
4.6% | -95.4% | 0.33 | 0.05 | 4.9x | 58 | 59% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=10, mult=2.3 |
5.8% | -80.3% | 0.33 | 0.07 | 7.4x | 172 | 17% |
| Supertrend period=28, mult=3.2 |
5.3% | -77.7% | 0.33 | 0.07 | 6.1x | 211 | 51% |
| MACD fast=19, slow=32, signal=10 |
4.9% | -84.6% | 0.32 | 0.06 | 5.5x | 522 | 51% |
| ROC 모멘텀 n=111, threshold=-0.11 |
2.5% | -98.7% | 0.30 | 0.02 | 2.4x | 287 | 71% |
| Parabolic SAR step=0.045, maxStep=0.14 |
0.3% | -85.4% | 0.22 | 0.00 | 1.1x | 1002 | 51% |
| ADX / DI 방향성 period=17, threshold=15 |
0.3% | -94.5% | 0.20 | 0.00 | 1.1x | 511 | 45% |
| Buy and hold | 10.8% | -91.8% | 0.47 | 0.12 | 37.6x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 131 days