Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axcelis Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Axcelis Technologies, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -75.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.2%, drawdown -99.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -76.8%, Sharpe 0.49, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 6.3%, MDD -75.5%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.1 |
12.6% | -76.8% | 0.49 | 0.16 | 22.1x | 92 | 51% |
| SMA 크로스오버 fast=26, slow=82 |
11.0% | -84.8% | 0.46 | 0.13 | 15.1x | 84 | 52% |
| EMA 크로스오버 fast=32, slow=83 |
10.1% | -80.8% | 0.44 | 0.13 | 12.4x | 69 | 53% |
| Donchian 채널 돌파 entryN=46, exitN=36 |
9.9% | -84.8% | 0.43 | 0.12 | 11.6x | 74 | 49% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=20, mult=2.3 |
6.3% | -75.5% | 0.35 | 0.08 | 4.9x | 112 | 29% |
| ROC 모멘텀 n=59, threshold=-0.03 |
5.6% | -84.1% | 0.34 | 0.07 | 4.1x | 326 | 57% |
| 볼린저 밴드 돌파 n=39, k=2 |
4.0% | -85.6% | 0.29 | 0.05 | 2.8x | 140 | 33% |
| ADX / DI 방향성 period=28, threshold=11 |
2.5% | -83.7% | 0.26 | 0.03 | 1.9x | 308 | 43% |
| MACD fast=14, slow=37, signal=17 |
-3.6% | -91.1% | 0.18 | -0.04 | 0.4x | 360 | 52% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-10.2% | -99.1% | 0.00 | -0.10 | 0.1x | 458 | 50% |
| Buy and hold | 1.2% | -99.3% | 0.37 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)