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 10.2%, MDD -66.1%).

Data 1989-08-23 ~ 2026-07-31daily bars 9,302 (36.9 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.3%, drawdown -90.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -66.1%, Sharpe 0.44, 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 10.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=8, exitN=105
10.2%-66.1%0.440.1536.1x8588%
SMA 크로스오버
fast=38, slow=174
8.3%-59.5%0.400.1418.8x5760%
Supertrend
period=25, mult=4.9
6.0%-69.2%0.340.098.6x8360%
EMA 크로스오버
fast=57, slow=179
4.9%-75.9%0.310.065.9x5560%
ADX / DI 방향성
period=30, threshold=8
2.2%-76.9%0.240.032.2x46953%
MACD
fast=27, slow=40, signal=25
0.5%-77.4%0.190.011.2x32752%
볼린저 밴드 돌파
n=23, k=3.5
0.9%-46.7%0.140.021.4x375%
ROC 모멘텀
n=182, threshold=-0.03
-2.1%-89.3%0.13-0.020.5x34563%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=11, mult=3.2
0.6%-53.9%0.130.011.3x8518%
Parabolic SAR
step=0.02, maxStep=0.16
-2.3%-86.9%0.11-0.030.4x74950%
Buy and hold9.3%-90.9%0.430.1027.0x1100%
1x 10x 100x 1990 1995 2000 2005 2010 2015 2020 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -45% -68% -91% 1990 1995 2000 2005 2010 2015 2020 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -66.1% (2018-09-14 → 2025-07-31), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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

Read next