Trend-Following Backtester · Guide · backtest 한국어
equity · US
Novagold Resources Inc. backtest
10 trend-following strategies were compared on the full daily history of Novagold Resources Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -17.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.0%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -75.3%, Sharpe 0.39, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 2.8%, MDD -17.0%, exposure 1%).
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=57, slow=109 |
7.3% | -75.3% | 0.39 | 0.10 | 5.0x | 58 | 50% |
| EMA 크로스오버 fast=55, slow=59 |
6.0% | -72.1% | 0.35 | 0.08 | 3.8x | 50 | 47% |
| ADX / DI 방향성 period=14, threshold=47 |
2.8% | -17.0% | 0.35 | 0.17 | 1.9x | 8 | 1% |
| Donchian 채널 돌파 entryN=106, exitN=51 |
5.6% | -71.1% | 0.34 | 0.08 | 3.5x | 30 | 36% |
| Supertrend period=5, mult=2.2 |
3.1% | -89.4% | 0.29 | 0.03 | 2.0x | 257 | 51% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
2.7% | -32.6% | 0.25 | 0.08 | 1.8x | 14 | 6% |
| MACD fast=10, slow=57, signal=9 |
0.1% | -95.7% | 0.23 | 0.00 | 1.0x | 443 | 51% |
| ROC 모멘텀 n=136, threshold=-0.03 |
-0.2% | -92.2% | 0.21 | -0.00 | 1.0x | 218 | 52% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.4% | -91.3% | 0.19 | -0.02 | 0.7x | 493 | 50% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=1.1 |
-0.5% | -81.5% | 0.16 | -0.01 | 0.9x | 290 | 33% |
| Buy and hold | 1.0% | -97.9% | 0.36 | 0.01 | 1.3x | 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 57-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 57-day average falls below the 109-day average