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.. 6 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 22.5%, MDD -26.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.9%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 22.5%, MDD -26.4%, Sharpe 0.77, 25% exposure.
CAGR reference leader: Supertrend — CAGR 23.7%, MDD -67.6%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 59.3%p (CAGR 22.5%, MDD -26.4%, exposure 25%).
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 |
22.5% | -26.4% | 0.77 | 0.85 | 5.4x | 24 | 25% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=4 |
8.6% | -12.9% | 0.71 | 0.67 | 2.0x | 8 | 6% |
| Supertrend period=12, mult=4 |
23.7% | -67.6% | 0.67 | 0.35 | 5.8x | 31 | 48% |
| 볼린저 밴드 돌파 n=13, k=3 |
7.5% | -26.9% | 0.60 | 0.28 | 1.8x | 10 | 6% |
| Donchian 채널 돌파 entryN=29, exitN=36 |
17.7% | -82.5% | 0.57 | 0.21 | 3.9x | 27 | 50% |
| ROC 모멘텀 n=144, threshold=0.06 |
15.0% | -56.5% | 0.54 | 0.27 | 3.2x | 49 | 40% |
| EMA 크로스오버 fast=10, slow=106 |
14.5% | -75.9% | 0.52 | 0.19 | 3.1x | 29 | 45% |
| Parabolic SAR step=0.015, maxStep=0.06 |
13.4% | -62.7% | 0.49 | 0.21 | 2.8x | 104 | 47% |
| SMA 크로스오버 fast=16, slow=58 |
10.5% | -71.9% | 0.45 | 0.15 | 2.3x | 36 | 47% |
| MACD fast=24, slow=70, signal=7 |
7.9% | -73.0% | 0.39 | 0.11 | 1.9x | 110 | 46% |
| Buy and hold | 11.9% | -85.7% | 0.50 | 0.14 | 2.5x | 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)