Trend-Following Backtester · Guide · backtest 한국어
equity · US
nLIGHT, Inc. backtest
10 trend-following strategies were compared on the full daily history of nLIGHT, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -12.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.5%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 22.3%, MDD -26.4%, Sharpe 0.77, 24% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.8%p higher than buy and hold, while drawdown improves by 59.3%p (CAGR 8.5%, MDD -12.9%, exposure 6%).
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=38, threshold=15 |
22.3% | -26.4% | 0.77 | 0.85 | 5.4x | 24 | 24% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=4 |
8.5% | -12.9% | 0.71 | 0.66 | 2.0x | 8 | 6% |
| Supertrend period=12, mult=4 |
20.4% | -67.6% | 0.62 | 0.30 | 4.7x | 32 | 48% |
| 볼린저 밴드 돌파 n=13, k=3 |
7.4% | -26.9% | 0.59 | 0.28 | 1.8x | 10 | 6% |
| Donchian 채널 돌파 entryN=29, exitN=36 |
14.6% | -82.5% | 0.52 | 0.18 | 3.1x | 28 | 50% |
| EMA 크로스오버 fast=10, slow=106 |
9.8% | -75.9% | 0.43 | 0.13 | 2.2x | 30 | 45% |
| ROC 모멘텀 n=144, threshold=0.06 |
8.9% | -56.5% | 0.41 | 0.16 | 2.0x | 52 | 41% |
| Parabolic SAR step=0.015, maxStep=0.06 |
8.9% | -62.7% | 0.41 | 0.14 | 2.0x | 106 | 47% |
| SMA 크로스오버 fast=16, slow=58 |
6.4% | -71.9% | 0.36 | 0.09 | 1.7x | 38 | 46% |
| MACD fast=24, slow=70, signal=7 |
3.7% | -73.0% | 0.31 | 0.05 | 1.4x | 112 | 45% |
| Buy and hold | 5.5% | -85.7% | 0.41 | 0.06 | 1.6x | 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, 38-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)