Trend-Following Backtester · Guide · backtest 한국어
equity · US
Progyny, Inc. backtest
10 trend-following strategies were compared on the full daily history of Progyny, Inc.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -15.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.1%, drawdown -79.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.2%, MDD -15.3%, Sharpe 0.67, 10% exposure.
CAGR reference leader: Parabolic SAR — CAGR 8.8%, MDD -57.3%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 64.2%p (CAGR 8.2%, MDD -15.3%, exposure 10%).
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=19, atrPeriod=20, mult=3.1 |
8.2% | -15.3% | 0.67 | 0.54 | 1.7x | 10 | 10% |
| ADX / DI 방향성 period=24, threshold=37 |
4.0% | -13.6% | 0.51 | 0.30 | 1.3x | 4 | 3% |
| Parabolic SAR step=0.015, maxStep=0.04 |
8.8% | -57.3% | 0.41 | 0.15 | 1.8x | 64 | 50% |
| Supertrend period=8, mult=4.2 |
7.2% | -54.0% | 0.37 | 0.13 | 1.6x | 26 | 52% |
| MACD fast=17, slow=58, signal=12 |
5.6% | -67.4% | 0.34 | 0.08 | 1.5x | 72 | 47% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
4.1% | -30.8% | 0.34 | 0.13 | 1.3x | 8 | 11% |
| Donchian 채널 돌파 entryN=98, exitN=27 |
4.5% | -42.6% | 0.31 | 0.11 | 1.3x | 10 | 24% |
| SMA 크로스오버 fast=29, slow=196 |
0.8% | -60.2% | 0.19 | 0.01 | 1.1x | 13 | 49% |
| EMA 크로스오버 fast=43, slow=117 |
-0.2% | -64.3% | 0.16 | -0.00 | 1.0x | 15 | 52% |
| ROC 모멘텀 n=41, threshold=-0.01 |
-1.4% | -63.4% | 0.16 | -0.02 | 0.9x | 110 | 50% |
| Buy and hold | 7.1% | -79.5% | 0.42 | 0.09 | 1.6x | 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 19-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average