Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axon Enterprise, Inc. backtest
10 trend-following strategies were compared on the full daily history of Axon Enterprise, Inc.. 4 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 34.6%, MDD -51.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 32.6%, drawdown -91.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.6%, MDD -51.1%, Sharpe 0.94, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 37.3%, MDD -76.2%, exposure 61%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 34.6%, MDD -51.1%, exposure 46%).
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=1.1 |
34.6% | -51.1% | 0.94 | 0.68 | 1781.6x | 201 | 46% |
| Donchian 채널 돌파 entryN=32, exitN=41 |
37.3% | -76.2% | 0.92 | 0.49 | 2965.3x | 75 | 61% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=1.5 |
32.1% | -53.7% | 0.91 | 0.60 | 1120.4x | 197 | 42% |
| Supertrend period=12, mult=4.6 |
33.6% | -68.9% | 0.88 | 0.49 | 1476.1x | 85 | 59% |
| EMA 크로스오버 fast=32, slow=42 |
33.5% | -75.5% | 0.86 | 0.44 | 1441.0x | 81 | 57% |
| SMA 크로스오버 fast=59, slow=67 |
32.2% | -81.1% | 0.83 | 0.40 | 1137.9x | 135 | 57% |
| ROC 모멘텀 n=61, threshold=0.11 |
28.0% | -78.2% | 0.82 | 0.36 | 504.2x | 269 | 44% |
| ADX / DI 방향성 period=31, threshold=12 |
28.3% | -71.1% | 0.81 | 0.40 | 529.3x | 237 | 47% |
| Parabolic SAR step=0.015, maxStep=0.18 |
24.3% | -66.0% | 0.71 | 0.37 | 238.9x | 414 | 51% |
| MACD fast=9, slow=43, signal=11 |
17.7% | -78.6% | 0.59 | 0.23 | 61.2x | 410 | 51% |
| Buy and hold | 32.6% | -91.8% | 0.77 | 0.36 | 1225.3x | 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 (1.1× volatility)
- Sell — Sell when the close falls back to the 34-day middle average