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.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -99.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.0%, MDD -81.2%, Sharpe 0.68, 37% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=17, slow=43 |
33.0% | -81.2% | 0.68 | 0.41 | 271.7x | 70 | 37% |
| SMA 크로스오버 fast=5, slow=101 |
31.3% | -86.5% | 0.67 | 0.36 | 210.7x | 69 | 39% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
26.3% | -82.1% | 0.62 | 0.32 | 98.1x | 92 | 26% |
| ROC 모멘텀 n=25, threshold=0.08 |
24.1% | -83.1% | 0.60 | 0.29 | 69.4x | 302 | 30% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=0.5 |
20.0% | -93.7% | 0.57 | 0.21 | 35.9x | 170 | 34% |
| Donchian 채널 돌파 entryN=27, exitN=27 |
20.2% | -94.0% | 0.57 | 0.22 | 37.3x | 71 | 39% |
| Supertrend period=9, mult=4.3 |
14.3% | -94.9% | 0.53 | 0.15 | 13.9x | 59 | 51% |
| ADX / DI 방향성 period=31, threshold=21 |
15.8% | -90.5% | 0.51 | 0.17 | 17.8x | 58 | 20% |
| MACD fast=17, slow=33, signal=17 |
5.6% | -93.9% | 0.49 | 0.06 | 2.9x | 240 | 52% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-4.0% | -98.3% | 0.34 | -0.04 | 0.5x | 260 | 38% |
| Buy and hold | -6.9% | -99.2% | 0.48 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 43-day EMA
- Sell — Sell when the 17-day EMA falls below the 43-day EMA