Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Northland Power Inc. backtest
10 trend-following strategies were compared on the full daily history of Northland Power Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -68.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -5.3%, Sharpe 0.32, 1% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=32 |
0.6% | -5.3% | 0.32 | 0.11 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=11, exitN=101 |
-0.2% | -61.2% | 0.10 | -0.00 | 1.0x | 53 | 89% |
| SMA 크로스오버 fast=59, slow=211 |
-0.2% | -56.5% | 0.08 | -0.00 | 0.9x | 39 | 53% |
| EMA 크로스오버 fast=38, slow=125 |
-0.7% | -57.7% | 0.05 | -0.01 | 0.8x | 48 | 55% |
| Supertrend period=31, mult=3.5 |
-1.3% | -58.5% | 0.02 | -0.02 | 0.7x | 110 | 61% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.7% | -65.8% | -0.03 | -0.03 | 0.7x | 196 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.7 |
-1.6% | -47.6% | -0.06 | -0.03 | 0.7x | 76 | 31% |
| 볼린저 밴드 돌파 n=28, k=2.6 |
-1.5% | -53.5% | -0.13 | -0.03 | 0.7x | 94 | 21% |
| MACD fast=17, slow=37, signal=14 |
-3.1% | -77.9% | -0.13 | -0.04 | 0.5x | 302 | 51% |
| ROC 모멘텀 n=142, threshold=0.13 |
-2.6% | -48.9% | -0.16 | -0.05 | 0.5x | 160 | 22% |
| Buy and hold | 2.6% | -68.1% | 0.23 | 0.04 | 1.8x | 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, 47-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)