Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nature's Sunshine Products, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nature's Sunshine Products, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -69.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -57.3%, Sharpe 0.46, 51% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=63 |
10.7% | -57.3% | 0.46 | 0.19 | 5.7x | 136 | 51% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=18, mult=4 |
7.6% | -39.0% | 0.42 | 0.19 | 3.5x | 20 | 18% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
5.9% | -27.6% | 0.39 | 0.22 | 2.7x | 22 | 10% |
| ADX / DI 방향성 period=51, threshold=18 |
4.4% | -38.2% | 0.32 | 0.12 | 2.1x | 28 | 15% |
| Supertrend period=11, mult=4.9 |
4.8% | -79.8% | 0.31 | 0.06 | 2.2x | 42 | 53% |
| Donchian 채널 돌파 entryN=39, exitN=46 |
2.5% | -75.0% | 0.25 | 0.03 | 1.5x | 44 | 53% |
| ROC 모멘텀 n=104, threshold=0.24 |
2.7% | -55.7% | 0.23 | 0.05 | 1.6x | 106 | 22% |
| EMA 크로스오버 fast=55, slow=74 |
1.6% | -84.7% | 0.22 | 0.02 | 1.3x | 46 | 50% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-5.0% | -90.4% | 0.02 | -0.06 | 0.4x | 224 | 50% |
| MACD fast=9, slow=32, signal=17 |
-15.2% | -98.3% | -0.32 | -0.15 | 0.1x | 308 | 52% |
| Buy and hold | 11.2% | -69.9% | 0.45 | 0.16 | 6.2x | 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 56-day average price crosses above the 63-day average
- Sell — Sell (to cash) when the 56-day average falls below the 63-day average