Trend-Following Backtester · Guide · backtest 한국어
equity · US
Precigen, Inc. backtest
10 trend-following strategies were compared on the full daily history of Precigen, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -46.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.0%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -81.3%, Sharpe 0.41, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 3.1%, MDD -46.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=216 |
9.0% | -81.3% | 0.41 | 0.11 | 3.1x | 17 | 35% |
| EMA 크로스오버 fast=91, slow=142 |
8.6% | -75.5% | 0.40 | 0.11 | 2.9x | 9 | 30% |
| Supertrend period=27, mult=4.2 |
6.7% | -83.5% | 0.39 | 0.08 | 2.3x | 43 | 44% |
| 볼린저 밴드 돌파 n=50, k=2.5 |
4.7% | -80.0% | 0.31 | 0.06 | 1.8x | 47 | 24% |
| MACD fast=31, slow=37, signal=25 |
1.0% | -90.9% | 0.31 | 0.01 | 1.1x | 99 | 52% |
| ADX / DI 방향성 period=18, threshold=25 |
3.5% | -65.0% | 0.27 | 0.05 | 1.6x | 49 | 17% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=3.4 |
3.1% | -46.3% | 0.27 | 0.07 | 1.5x | 12 | 3% |
| Donchian 채널 돌파 entryN=32, exitN=78 |
-7.4% | -96.2% | 0.20 | -0.08 | 0.4x | 35 | 59% |
| ROC 모멘텀 n=147, threshold=0.07 |
-2.8% | -91.8% | 0.18 | -0.03 | 0.7x | 121 | 35% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-20.3% | -99.4% | -0.08 | -0.20 | 0.1x | 227 | 46% |
| Buy and hold | -9.0% | -99.0% | 0.31 | -0.09 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 59-day average falls below the 216-day average