Trend-Following Backtester · Guide · backtest 한국어
equity · US
Navient Corporation backtest
10 trend-following strategies were compared on the full daily history of Navient Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -14.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.6%, drawdown -77.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.6%, MDD -28.7%, Sharpe 0.36, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 1.6%, MDD -14.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=16, mult=3.8 |
2.6% | -28.7% | 0.36 | 0.09 | 1.4x | 10 | 6% |
| ADX / DI 방향성 period=33, threshold=23 |
1.6% | -14.1% | 0.29 | 0.11 | 1.2x | 12 | 4% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
1.8% | -37.7% | 0.23 | 0.05 | 1.2x | 16 | 11% |
| SMA 크로스오버 fast=66, slow=96 |
1.7% | -54.2% | 0.19 | 0.03 | 1.2x | 33 | 47% |
| ROC 모멘텀 n=158, threshold=0.04 |
1.6% | -49.9% | 0.18 | 0.03 | 1.2x | 92 | 35% |
| Donchian 채널 돌파 entryN=114, exitN=23 |
0.0% | -54.2% | 0.08 | 0.00 | 1.0x | 22 | 19% |
| Supertrend period=15, mult=3.2 |
-1.6% | -53.8% | 0.06 | -0.03 | 0.8x | 72 | 46% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-4.0% | -72.5% | -0.03 | -0.05 | 0.6x | 223 | 52% |
| EMA 크로스오버 fast=50, slow=77 |
-3.6% | -69.9% | -0.05 | -0.05 | 0.6x | 32 | 45% |
| MACD fast=14, slow=22, signal=10 |
-5.7% | -63.5% | -0.08 | -0.09 | 0.5x | 230 | 50% |
| Buy and hold | -5.6% | -77.8% | 0.06 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average