Trend-Following Backtester · Guide · backtest 한국어
equity · US
Akebia Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Akebia Therapeutics, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -34.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.6%, drawdown -99.1%).
Sharpe leader (same as main): MACD — CAGR 10.2%, MDD -71.5%, Sharpe 0.45, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.8%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 2.2%, MDD -34.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=28, signal=15 |
10.2% | -71.5% | 0.45 | 0.14 | 3.3x | 138 | 52% |
| SMA 크로스오버 fast=86, slow=98 |
1.9% | -87.0% | 0.37 | 0.02 | 1.3x | 54 | 45% |
| Supertrend period=8, mult=1.8 |
3.7% | -74.3% | 0.33 | 0.05 | 1.6x | 157 | 42% |
| ROC 모멘텀 n=127, threshold=0.06 |
3.1% | -68.4% | 0.32 | 0.05 | 1.5x | 100 | 40% |
| 볼린저 밴드 돌파 n=17, k=1.3 |
2.8% | -76.6% | 0.30 | 0.04 | 1.4x | 178 | 33% |
| Donchian 채널 돌파 entryN=116, exitN=91 |
-3.4% | -82.0% | 0.25 | -0.04 | 0.7x | 10 | 34% |
| EMA 크로스오버 fast=55, slow=130 |
-3.8% | -84.1% | 0.25 | -0.04 | 0.6x | 14 | 35% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.9% | -80.3% | 0.25 | -0.01 | 0.9x | 202 | 43% |
| ADX / DI 방향성 period=20, threshold=33 |
2.2% | -34.8% | 0.21 | 0.06 | 1.3x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=28, mult=2.2 |
-3.1% | -56.6% | 0.08 | -0.05 | 0.7x | 60 | 17% |
| Buy and hold | -21.6% | -99.1% | 0.18 | -0.22 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/28) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line