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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 7.1%, drawdown -98.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.4%, MDD -88.5%, Sharpe 0.45, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, MDD -82.2%, exposure 52%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=81 |
11.4% | -88.5% | 0.45 | 0.13 | 77.7x | 53 | 54% |
| SMA 크로스오버 fast=36, slow=194 |
11.4% | -82.2% | 0.45 | 0.14 | 78.1x | 55 | 52% |
| EMA 크로스오버 fast=57, slow=174 |
9.7% | -80.7% | 0.42 | 0.12 | 42.3x | 55 | 52% |
| Supertrend period=22, mult=4.7 |
6.7% | -91.7% | 0.36 | 0.07 | 13.5x | 101 | 51% |
| 볼린저 밴드 돌파 n=73, k=1.8 |
1.3% | -94.0% | 0.23 | 0.01 | 1.7x | 139 | 35% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=3.3 |
1.0% | -80.4% | 0.19 | 0.01 | 1.5x | 97 | 23% |
| ADX / DI 방향성 period=16, threshold=39 |
2.1% | -68.9% | 0.19 | 0.03 | 2.3x | 81 | 6% |
| MACD fast=24, slow=47, signal=19 |
-4.5% | -99.6% | 0.18 | -0.04 | 0.2x | 401 | 52% |
| ROC 모멘텀 n=122, threshold=0.03 |
-3.6% | -99.2% | 0.17 | -0.04 | 0.2x | 403 | 52% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-6.7% | -99.7% | 0.12 | -0.07 | 0.1x | 890 | 48% |
| Buy and hold | 7.1% | -98.3% | 0.46 | 0.07 | 16.0x | 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 68 days
- Sell — Sell when price breaks below the lowest low of the last 81 days