Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ocugen, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ocugen, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.1%, MDD -65.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -42.0%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.6%, MDD -87.5%, Sharpe 0.55, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 66.7%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 17.1%, MDD -65.9%, exposure 9%).
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=77, exitN=80 |
24.6% | -87.5% | 0.55 | 0.28 | 13.0x | 12 | 39% |
| ROC 모멘텀 n=112, threshold=0.08 |
23.4% | -80.1% | 0.54 | 0.29 | 11.6x | 92 | 34% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
20.6% | -69.4% | 0.49 | 0.30 | 8.8x | 30 | 14% |
| ADX / DI 방향성 period=17, threshold=17 |
2.6% | -93.6% | 0.45 | 0.03 | 1.3x | 112 | 36% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=31, mult=2.9 |
17.1% | -65.9% | 0.45 | 0.26 | 6.3x | 28 | 9% |
| SMA 크로스오버 fast=17, slow=162 |
5.0% | -93.5% | 0.42 | 0.05 | 1.8x | 18 | 33% |
| EMA 크로스오버 fast=8, slow=48 |
2.6% | -90.4% | 0.42 | 0.03 | 1.4x | 68 | 33% |
| Supertrend period=24, mult=3.5 |
3.4% | -84.6% | 0.38 | 0.04 | 1.5x | 50 | 25% |
| Parabolic SAR step=0.045, maxStep=0.38 |
-18.8% | -98.6% | 0.26 | -0.19 | 0.1x | 358 | 42% |
| MACD fast=18, slow=38, signal=10 |
-32.5% | -99.9% | 0.24 | -0.33 | 0.0x | 174 | 55% |
| Buy and hold | -42.0% | -100.0% | 0.27 | -0.42 | 0.0x | 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 77 days
- Sell — Sell when price breaks below the lowest low of the last 80 days