Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Newag SA backtest
10 trend-following strategies were compared on the full daily history of Newag SA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.3%, MDD -26.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.2%, drawdown -54.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -28.9%, Sharpe 0.78, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 11.3%, MDD -26.1%, exposure 41%).
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=168 |
17.7% | -28.9% | 0.78 | 0.61 | 7.9x | 14 | 56% |
| Donchian 채널 돌파 entryN=72, exitN=32 |
15.3% | -32.1% | 0.73 | 0.48 | 6.1x | 18 | 46% |
| EMA 크로스오버 fast=63, slow=103 |
15.9% | -28.9% | 0.71 | 0.55 | 6.5x | 10 | 59% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
9.6% | -30.5% | 0.61 | 0.31 | 3.2x | 22 | 25% |
| ROC 모멘텀 n=74, threshold=0.05 |
11.3% | -26.1% | 0.60 | 0.43 | 3.9x | 96 | 41% |
| ADX / DI 방향성 period=8, threshold=38 |
6.4% | -29.6% | 0.53 | 0.22 | 2.2x | 104 | 12% |
| Supertrend period=12, mult=4.4 |
5.8% | -53.7% | 0.35 | 0.11 | 2.0x | 44 | 61% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.6 |
4.2% | -43.3% | 0.31 | 0.10 | 1.7x | 42 | 30% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.5% | -73.6% | 0.09 | -0.01 | 0.9x | 144 | 53% |
| MACD fast=13, slow=39, signal=22 |
-3.0% | -76.3% | -0.04 | -0.04 | 0.7x | 156 | 48% |
| Buy and hold | 11.2% | -54.9% | 0.49 | 0.20 | 3.8x | 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 168-day average
- Sell — Sell (to cash) when the 36-day average falls below the 168-day average