Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neogen Corporation backtest
10 trend-following strategies were compared on the full daily history of Neogen Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -66.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -66.1%, Sharpe 0.43, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 10.0%, MDD -66.1%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=105 |
10.0% | -66.1% | 0.43 | 0.15 | 34.6x | 85 | 88% |
| SMA 크로스오버 fast=38, slow=174 |
8.1% | -59.5% | 0.39 | 0.14 | 18.1x | 57 | 60% |
| Supertrend period=25, mult=4.9 |
5.9% | -69.2% | 0.34 | 0.09 | 8.3x | 83 | 60% |
| EMA 크로스오버 fast=57, slow=179 |
4.8% | -75.9% | 0.31 | 0.06 | 5.6x | 55 | 60% |
| ADX / DI 방향성 period=30, threshold=8 |
2.1% | -76.9% | 0.24 | 0.03 | 2.2x | 469 | 53% |
| MACD fast=27, slow=40, signal=25 |
0.4% | -77.4% | 0.19 | 0.00 | 1.1x | 327 | 52% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.8% | -46.7% | 0.13 | 0.02 | 1.4x | 37 | 5% |
| ROC 모멘텀 n=182, threshold=-0.03 |
-2.2% | -89.3% | 0.12 | -0.02 | 0.4x | 345 | 63% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=3.2 |
0.5% | -53.9% | 0.12 | 0.01 | 1.2x | 85 | 18% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.4% | -86.9% | 0.11 | -0.03 | 0.4x | 750 | 50% |
| Buy and hold | 9.2% | -90.9% | 0.42 | 0.10 | 25.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 105 days