Trend-Following Backtester · Guide · backtest 한국어
equity · US
agilon health, inc. backtest
10 trend-following strategies were compared on the full daily history of agilon health, inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.1%, MDD -10.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.4%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.1%, MDD -10.6%, Sharpe 0.91, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 36.9%, MDD -59.3%, exposure 30%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 49.4%p higher than buy and hold, while drawdown improves by 88.6%p (CAGR 16.1%, MDD -10.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=32 |
16.1% | -10.6% | 0.91 | 1.51 | 2.2x | 2 | 4% |
| ROC 모멘텀 n=37, threshold=0.08 |
36.9% | -59.3% | 0.72 | 0.62 | 5.4x | 54 | 30% |
| 볼린저 밴드 돌파 n=28, k=2.7 |
31.8% | -27.4% | 0.67 | 1.16 | 4.4x | 12 | 13% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=3.9 |
27.5% | -23.2% | 0.62 | 1.19 | 3.7x | 2 | 5% |
| Supertrend period=13, mult=4.6 |
18.7% | -82.9% | 0.53 | 0.23 | 2.5x | 17 | 37% |
| Parabolic SAR step=0.025, maxStep=0.32 |
12.1% | -76.6% | 0.49 | 0.16 | 1.9x | 135 | 49% |
| EMA 크로스오버 fast=7, slow=100 |
15.4% | -48.4% | 0.47 | 0.32 | 2.2x | 17 | 26% |
| Donchian 채널 돌파 entryN=30, exitN=41 |
10.7% | -69.1% | 0.43 | 0.15 | 1.7x | 19 | 47% |
| MACD fast=16, slow=25, signal=17 |
5.2% | -86.4% | 0.40 | 0.06 | 1.3x | 58 | 55% |
| SMA 크로스오버 fast=9, slow=205 |
6.8% | -64.4% | 0.34 | 0.11 | 1.4x | 9 | 20% |
| Buy and hold | -33.4% | -99.3% | 0.07 | -0.34 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)