Trend-Following Backtester · Guide · backtest 한국어
equity · US
Agenus Inc. backtest
10 trend-following strategies were compared on the full daily history of Agenus Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -31.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.0%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -31.3%, Sharpe 0.29, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.5%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 4.5%, MDD -31.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.3 |
4.5% | -31.3% | 0.29 | 0.14 | 3.2x | 15 | 2% |
| MACD fast=19, slow=54, signal=14 |
-5.6% | -95.4% | 0.22 | -0.06 | 0.2x | 293 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-6.0% | -93.0% | 0.19 | -0.06 | 0.2x | 427 | 42% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=3.2 |
1.4% | -71.7% | 0.19 | 0.02 | 1.4x | 53 | 8% |
| ROC 모멘텀 n=34, threshold=0.11 |
-4.7% | -88.9% | 0.15 | -0.05 | 0.3x | 355 | 25% |
| SMA 크로스오버 fast=11, slow=66 |
-6.9% | -93.9% | 0.14 | -0.07 | 0.2x | 137 | 37% |
| Donchian 채널 돌파 entryN=16, exitN=60 |
-14.8% | -99.4% | 0.12 | -0.15 | 0.0x | 105 | 67% |
| EMA 크로스오버 fast=12, slow=47 |
-8.6% | -96.2% | 0.10 | -0.09 | 0.1x | 153 | 36% |
| ADX / DI 방향성 period=19, threshold=13 |
-9.7% | -96.5% | 0.10 | -0.10 | 0.1x | 359 | 41% |
| Supertrend period=21, mult=2.4 |
-9.2% | -95.4% | 0.08 | -0.10 | 0.1x | 217 | 35% |
| Buy and hold | -22.0% | -100.0% | 0.13 | -0.22 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average