Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axos Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Axos Financial, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.9%, MDD -53.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.8%, drawdown -70.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -58.6%, Sharpe 0.67, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 12.0%p (CAGR 14.9%, MDD -53.3%, exposure 60%).
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=23, exitN=62 |
17.9% | -58.6% | 0.67 | 0.31 | 34.1x | 45 | 74% |
| SMA 크로스오버 fast=43, slow=112 |
16.0% | -61.6% | 0.64 | 0.26 | 24.1x | 45 | 61% |
| ROC 모멘텀 n=143, threshold=0.14 |
13.9% | -53.3% | 0.64 | 0.26 | 16.2x | 136 | 42% |
| EMA 크로스오버 fast=43, slow=139 |
14.9% | -53.3% | 0.62 | 0.28 | 19.8x | 29 | 60% |
| Supertrend period=27, mult=3.4 |
11.5% | -41.7% | 0.53 | 0.28 | 10.4x | 111 | 51% |
| 볼린저 밴드 돌파 n=38, k=0.9 |
9.5% | -60.6% | 0.47 | 0.16 | 7.0x | 196 | 47% |
| MACD fast=23, slow=65, signal=12 |
9.4% | -60.6% | 0.45 | 0.16 | 6.9x | 214 | 49% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=8, mult=2 |
8.0% | -49.0% | 0.44 | 0.16 | 5.2x | 124 | 40% |
| ADX / DI 방향성 period=29, threshold=26 |
3.1% | -27.6% | 0.34 | 0.11 | 1.9x | 28 | 9% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.7% | -69.8% | 0.31 | 0.07 | 2.7x | 354 | 53% |
| Buy and hold | 17.8% | -70.6% | 0.60 | 0.25 | 33.5x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 62 days