Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Vision Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of National Vision Holdings, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -6.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -85.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -6.5%, Sharpe 0.82, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.9%, MDD -44.4%, exposure 68%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 78.6%p (CAGR 3.9%, MDD -6.5%, exposure 2%).
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=15, threshold=48 |
3.9% | -6.5% | 0.82 | 0.59 | 1.4x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=4 |
5.6% | -10.8% | 0.74 | 0.52 | 1.6x | 4 | 5% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
5.4% | -16.3% | 0.65 | 0.33 | 1.6x | 6 | 6% |
| Donchian 채널 돌파 entryN=12, exitN=35 |
16.9% | -44.4% | 0.61 | 0.38 | 4.0x | 38 | 68% |
| Supertrend period=15, mult=2.4 |
10.3% | -52.4% | 0.46 | 0.20 | 2.4x | 66 | 54% |
| SMA 크로스오버 fast=11, slow=32 |
6.2% | -48.5% | 0.35 | 0.13 | 1.7x | 68 | 54% |
| MACD fast=11, slow=39, signal=17 |
5.3% | -46.5% | 0.32 | 0.11 | 1.6x | 110 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
4.4% | -46.5% | 0.30 | 0.09 | 1.5x | 138 | 51% |
| ROC 모멘텀 n=35, threshold=-0.02 |
3.2% | -51.5% | 0.26 | 0.06 | 1.3x | 114 | 59% |
| EMA 크로스오버 fast=10, slow=63 |
2.5% | -53.4% | 0.23 | 0.05 | 1.2x | 48 | 53% |
| Buy and hold | -5.5% | -85.1% | 0.16 | -0.07 | 0.6x | 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, 15-day) is ≥ 48
- Sell — Sell when direction flips or the trend weakens (ADX < 48)