Trend-Following Backtester · Guide · backtest 한국어

equity · US

ANI Pharmaceuticals, Inc. backtest

10 trend-following strategies were compared on the full daily history of ANI Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -53.1%).

Data 2000-05-05 ~ 2026-07-31daily bars 6,598 (26.2 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -3.7%, drawdown -98.8%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -58.1%, Sharpe 0.49, 21% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 11.1%, MDD -53.1%, exposure 30%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 11.1%, MDD -53.1%, exposure 30%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=58, atrPeriod=23, mult=3.9
10.6%-58.1%0.490.1814.2x4221%
Donchian 채널 돌파
entryN=64, exitN=23
11.1%-53.1%0.480.2115.9x5630%
볼린저 밴드 돌파
n=75, k=2.3
10.8%-55.1%0.470.2014.8x5028%
ADX / DI 방향성
period=35, threshold=18
8.0%-59.6%0.400.137.5x8825%
Parabolic SAR
step=0.015, maxStep=0.12
8.3%-72.3%0.400.118.1x38950%
EMA 크로스오버
fast=35, slow=173
6.9%-68.9%0.370.105.7x3748%
SMA 크로스오버
fast=30, slow=119
6.7%-82.3%0.360.085.4x5745%
ROC 모멘텀
n=102, threshold=0.14
1.7%-82.1%0.220.021.6x19235%
Supertrend
period=14, mult=3.8
-1.9%-96.3%0.21-0.020.6x12350%
MACD
fast=9, slow=52, signal=17
-2.3%-88.2%0.20-0.030.5x36253%
Buy and hold-3.7%-98.8%0.33-0.040.4x1100%
0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -25% -49% -74% -99% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -58.1% (2007-05-08 → 2010-12-28), recovered after 2,416 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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