Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axsome Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Axsome Therapeutics, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 38.0%, MDD -61.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 33.5%, drawdown -86.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 38.0%, MDD -61.2%, Sharpe 0.86, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 38.0%, MDD -61.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=251 |
38.0% | -61.2% | 0.86 | 0.62 | 32.1x | 5 | 57% |
| MACD fast=11, slow=50, signal=15 |
37.3% | -76.9% | 0.83 | 0.48 | 30.5x | 134 | 49% |
| ROC 모멘텀 n=146, threshold=-0.04 |
29.2% | -61.2% | 0.72 | 0.48 | 15.9x | 85 | 61% |
| ADX / DI 방향성 period=39, threshold=36 |
6.6% | -17.3% | 0.71 | 0.38 | 2.0x | 4 | 3% |
| SMA 크로스오버 fast=59, slow=163 |
37.1% | -64.8% | 0.70 | 0.57 | 30.0x | 25 | 57% |
| Supertrend period=9, mult=3.1 |
36.7% | -71.3% | 0.70 | 0.52 | 29.2x | 62 | 54% |
| Parabolic SAR step=0.03, maxStep=0.24 |
33.5% | -73.8% | 0.67 | 0.45 | 22.6x | 286 | 51% |
| Donchian 채널 돌파 entryN=20, exitN=23 |
22.2% | -75.1% | 0.62 | 0.30 | 8.7x | 54 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.4 |
18.2% | -64.7% | 0.58 | 0.28 | 6.1x | 30 | 27% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
18.7% | -62.0% | 0.58 | 0.30 | 6.3x | 56 | 38% |
| Buy and hold | 33.5% | -86.6% | 0.70 | 0.39 | 22.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 251-day EMA
- Sell — Sell when the 59-day EMA falls below the 251-day EMA