Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neurogene Inc. backtest
10 trend-following strategies were compared on the full daily history of Neurogene Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.8%, MDD -34.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.8%, drawdown -98.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.6%, MDD -61.0%, Sharpe 0.53, 13% exposure.
CAGR reference leader: MACD — CAGR 19.9%, MDD -96.8%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.4%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 13.8%, MDD -34.9%, exposure 4%).
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=28, atrPeriod=17, mult=2.9 |
15.6% | -61.0% | 0.53 | 0.26 | 6.0x | 26 | 13% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
13.8% | -34.9% | 0.51 | 0.39 | 5.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=63, exitN=33 |
11.3% | -73.3% | 0.45 | 0.15 | 3.8x | 29 | 31% |
| Supertrend period=13, mult=5 |
0.7% | -88.8% | 0.41 | 0.01 | 1.1x | 27 | 48% |
| MACD fast=8, slow=15, signal=15 |
19.9% | -96.8% | 0.41 | 0.21 | 9.5x | 234 | 53% |
| ROC 모멘텀 n=90, threshold=0.02 |
5.6% | -82.9% | 0.37 | 0.07 | 2.0x | 145 | 44% |
| ADX / DI 방향성 period=20, threshold=35 |
6.1% | -51.9% | 0.32 | 0.12 | 2.1x | 10 | 8% |
| Parabolic SAR step=0.04, maxStep=0.2 |
1.9% | -97.8% | 0.29 | 0.02 | 1.3x | 394 | 46% |
| SMA 크로스오버 fast=23, slow=186 |
-10.8% | -93.2% | 0.21 | -0.12 | 0.2x | 25 | 45% |
| EMA 크로스오버 fast=51, slow=80 |
-12.2% | -93.6% | 0.18 | -0.13 | 0.2x | 27 | 41% |
| Buy and hold | -14.8% | -98.3% | 0.33 | -0.15 | 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 28-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average