Trend-Following Backtester · Guide · backtest 한국어
equity · US
Netlist, Inc. backtest
10 trend-following strategies were compared on the full daily history of Netlist, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -1.7%, drawdown -99.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.5%, MDD -86.5%, Sharpe 0.73, 40% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=5, slow=101 |
38.5% | -86.5% | 0.73 | 0.44 | 611.5x | 69 | 40% |
| EMA 크로스오버 fast=17, slow=43 |
36.4% | -81.2% | 0.71 | 0.45 | 455.1x | 71 | 37% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
29.5% | -82.1% | 0.65 | 0.36 | 164.4x | 93 | 26% |
| Donchian 채널 돌파 entryN=27, exitN=27 |
26.8% | -94.0% | 0.63 | 0.29 | 108.3x | 71 | 40% |
| ROC 모멘텀 n=25, threshold=0.08 |
27.3% | -83.1% | 0.63 | 0.33 | 116.2x | 303 | 31% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=0.5 |
23.1% | -93.7% | 0.60 | 0.25 | 60.2x | 171 | 34% |
| Supertrend period=9, mult=4.3 |
20.6% | -94.9% | 0.59 | 0.22 | 40.2x | 59 | 51% |
| MACD fast=17, slow=33, signal=17 |
8.4% | -93.9% | 0.51 | 0.09 | 4.9x | 241 | 52% |
| ADX / DI 방향성 period=31, threshold=21 |
16.3% | -90.5% | 0.51 | 0.18 | 19.6x | 59 | 20% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.9% | -98.3% | 0.36 | -0.03 | 0.6x | 262 | 38% |
| Buy and hold | -1.7% | -99.2% | 0.52 | -0.02 | 0.7x | 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 5-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 5-day average falls below the 101-day average