Trend-Following Backtester · Guide · backtest 한국어
equity · US
MacroGenics, Inc. backtest
10 trend-following strategies were compared on the full daily history of MacroGenics, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -39.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -97.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -62.8%, Sharpe 0.45, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 5.3%, MDD -39.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=19, mult=3.1 |
10.5% | -62.8% | 0.45 | 0.17 | 3.6x | 22 | 21% |
| SMA 크로스오버 fast=12, slow=50 |
9.2% | -79.9% | 0.36 | 0.12 | 3.1x | 80 | 44% |
| ADX / DI 방향성 period=28, threshold=30 |
5.3% | -39.2% | 0.36 | 0.14 | 1.9x | 14 | 7% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
9.9% | -65.6% | 0.32 | 0.15 | 3.3x | 34 | 11% |
| Donchian 채널 돌파 entryN=104, exitN=34 |
4.7% | -70.3% | 0.30 | 0.07 | 1.8x | 18 | 24% |
| ROC 모멘텀 n=36, threshold=0.13 |
6.1% | -68.5% | 0.29 | 0.09 | 2.1x | 158 | 26% |
| Parabolic SAR step=0.045, maxStep=0.18 |
-2.5% | -82.7% | 0.25 | -0.03 | 0.7x | 442 | 47% |
| Supertrend period=28, mult=2.5 |
-0.6% | -74.9% | 0.23 | -0.01 | 0.9x | 106 | 41% |
| MACD fast=16, slow=43, signal=7 |
-5.6% | -88.2% | 0.22 | -0.06 | 0.5x | 234 | 50% |
| EMA 크로스오버 fast=26, slow=28 |
-4.0% | -87.3% | 0.14 | -0.05 | 0.6x | 64 | 43% |
| Buy and hold | -13.9% | -97.4% | 0.28 | -0.14 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 61-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 61-day average