Trend-Following Backtester · Guide · backtest 한국어
equity · US
nCino, Inc. backtest
10 trend-following strategies were compared on the full daily history of nCino, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.8%, MDD -11.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.5%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -13.0%, Sharpe 0.13, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 72.7%p (CAGR -0.8%, MDD -11.4%, 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=23, threshold=28 |
0.7% | -13.0% | 0.13 | 0.05 | 1.0x | 6 | 3% |
| SMA 크로스오버 fast=52, slow=214 |
-4.3% | -37.0% | -0.08 | -0.12 | 0.8x | 6 | 29% |
| EMA 크로스오버 fast=54, slow=195 |
-3.9% | -30.5% | -0.09 | -0.13 | 0.8x | 6 | 28% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=14, mult=3.6 |
-1.5% | -19.8% | -0.13 | -0.08 | 0.9x | 6 | 4% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
-0.8% | -11.4% | -0.15 | -0.07 | 1.0x | 4 | 2% |
| ROC 모멘텀 n=149, threshold=0.04 |
-6.9% | -44.9% | -0.24 | -0.15 | 0.6x | 58 | 23% |
| Donchian 채널 돌파 entryN=71, exitN=78 |
-9.2% | -56.8% | -0.29 | -0.16 | 0.6x | 9 | 33% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-15.2% | -76.1% | -0.31 | -0.20 | 0.4x | 93 | 48% |
| Supertrend period=11, mult=4.4 |
-13.4% | -75.1% | -0.36 | -0.18 | 0.4x | 23 | 36% |
| MACD fast=6, slow=34, signal=6 |
-18.9% | -78.3% | -0.40 | -0.24 | 0.3x | 171 | 51% |
| Buy and hold | -20.5% | -85.7% | -0.15 | -0.24 | 0.2x | 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, 23-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)