Trend-Following Backtester · Guide · backtest 한국어
equity · US
AGNC Investment Corp. backtest
10 trend-following strategies were compared on the full daily history of AGNC Investment Corp.. 8 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 1.7%, MDD -17.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.2%, drawdown -81.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -17.5%, Sharpe 0.31, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 63.6%p (CAGR 1.7%, MDD -17.5%, exposure 3%).
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=34, k=3.5 |
1.7% | -17.5% | 0.31 | 0.10 | 1.4x | 6 | 3% |
| Donchian 채널 돌파 entryN=17, exitN=32 |
-0.2% | -52.1% | 0.08 | -0.00 | 1.0x | 73 | 66% |
| ADX / DI 방향성 period=19, threshold=22 |
0.0% | -40.8% | 0.05 | 0.00 | 1.0x | 86 | 13% |
| ROC 모멘텀 n=57, threshold=0.19 |
0.1% | -26.1% | 0.05 | 0.00 | 1.0x | 36 | 4% |
| SMA 크로스오버 fast=50, slow=221 |
-0.8% | -55.4% | 0.03 | -0.01 | 0.9x | 23 | 45% |
| Supertrend period=22, mult=4.4 |
-1.9% | -69.7% | -0.02 | -0.03 | 0.7x | 69 | 49% |
| EMA 크로스오버 fast=19, slow=78 |
-2.2% | -49.4% | -0.05 | -0.04 | 0.7x | 57 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=40, mult=4 |
-0.8% | -33.8% | -0.11 | -0.02 | 0.9x | 12 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.6% | -77.4% | -0.11 | -0.05 | 0.5x | 150 | 54% |
| MACD fast=19, slow=54, signal=13 |
-5.6% | -81.7% | -0.24 | -0.07 | 0.4x | 230 | 54% |
| Buy and hold | -3.2% | -81.1% | 0.01 | -0.04 | 0.5x | 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 34-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 34-day middle average