Trend-Following Backtester · Guide · backtest 한국어
equity · US
AGNT, Inc. backtest
10 trend-following strategies were compared on the full daily history of AGNT, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.8%, MDD -39.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.8%, MDD -39.6%, Sharpe 1.04, 11% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 34.2%p higher than buy and hold, while drawdown improves by 55.6%p (CAGR 29.8%, MDD -39.6%, exposure 11%).
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=183, exitN=16 |
29.8% | -39.6% | 1.04 | 0.75 | 9.1x | 4 | 11% |
| 볼린저 밴드 돌파 n=13, k=2.2 |
28.4% | -47.2% | 0.89 | 0.60 | 8.3x | 70 | 23% |
| ADX / DI 방향성 period=44, threshold=16 |
22.2% | -51.4% | 0.81 | 0.43 | 5.5x | 8 | 11% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=1.4 |
21.4% | -65.6% | 0.70 | 0.33 | 5.2x | 70 | 30% |
| Supertrend period=31, mult=3.7 |
21.6% | -67.9% | 0.67 | 0.32 | 5.2x | 40 | 37% |
| ROC 모멘텀 n=56, threshold=0.11 |
21.0% | -57.4% | 0.65 | 0.37 | 5.0x | 90 | 31% |
| Parabolic SAR step=0.01, maxStep=0.38 |
15.5% | -81.2% | 0.54 | 0.19 | 3.4x | 118 | 46% |
| SMA 크로스오버 fast=52, slow=57 |
14.8% | -66.0% | 0.53 | 0.22 | 3.2x | 64 | 44% |
| EMA 크로스오버 fast=8, slow=93 |
10.8% | -74.6% | 0.46 | 0.14 | 2.4x | 40 | 38% |
| MACD fast=8, slow=53, signal=8 |
4.1% | -89.2% | 0.32 | 0.05 | 1.4x | 170 | 51% |
| Buy and hold | -4.4% | -95.2% | 0.27 | -0.05 | 0.7x | 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 183 days
- Sell — Sell when price breaks below the lowest low of the last 16 days