Trend-Following Backtester · Guide · backtest 한국어
equity · US
Repligen Corporation backtest
10 trend-following strategies were compared on the full daily history of Repligen Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 6.5%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -82.2%, Sharpe 0.45, 52% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=36, slow=194 |
10.9% | -82.2% | 0.45 | 0.13 | 64.9x | 54 | 52% |
| Donchian 채널 돌파 entryN=68, exitN=81 |
10.7% | -88.5% | 0.44 | 0.12 | 60.5x | 53 | 54% |
| EMA 크로스오버 fast=57, slow=174 |
9.1% | -80.7% | 0.41 | 0.11 | 33.0x | 55 | 52% |
| Supertrend period=22, mult=4.7 |
6.0% | -91.7% | 0.35 | 0.07 | 10.5x | 101 | 51% |
| 볼린저 밴드 돌파 n=73, k=1.8 |
0.7% | -94.0% | 0.22 | 0.01 | 1.3x | 139 | 34% |
| ADX / DI 방향성 period=16, threshold=39 |
2.0% | -68.9% | 0.19 | 0.03 | 2.2x | 80 | 6% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=3.3 |
0.8% | -80.4% | 0.18 | 0.01 | 1.4x | 96 | 23% |
| MACD fast=24, slow=47, signal=19 |
-4.9% | -99.6% | 0.18 | -0.05 | 0.1x | 400 | 52% |
| ROC 모멘텀 n=122, threshold=0.03 |
-4.1% | -99.2% | 0.16 | -0.04 | 0.2x | 402 | 52% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-7.2% | -99.7% | 0.11 | -0.07 | 0.0x | 889 | 48% |
| Buy and hold | 6.5% | -98.3% | 0.45 | 0.07 | 12.5x | 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 36-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 36-day average falls below the 194-day average