Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nasdaq, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nasdaq, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -44.7%, Sharpe 0.62, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 23.8%p (CAGR 12.9%, MDD -44.7%, exposure 65%).
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=16, slow=134 |
12.9% | -44.7% | 0.62 | 0.29 | 18.9x | 57 | 65% |
| Donchian 채널 돌파 entryN=93, exitN=65 |
12.2% | -41.0% | 0.62 | 0.30 | 16.1x | 35 | 59% |
| EMA 크로스오버 fast=45, slow=69 |
12.3% | -57.1% | 0.59 | 0.21 | 16.3x | 53 | 65% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=8, mult=2.6 |
7.7% | -39.6% | 0.46 | 0.19 | 6.0x | 87 | 48% |
| 볼린저 밴드 돌파 n=69, k=3.4 |
4.5% | -33.5% | 0.44 | 0.13 | 2.9x | 16 | 13% |
| ROC 모멘텀 n=131, threshold=0.02 |
7.2% | -71.6% | 0.42 | 0.10 | 5.4x | 183 | 61% |
| Supertrend period=23, mult=4.9 |
6.9% | -48.9% | 0.40 | 0.14 | 5.0x | 87 | 57% |
| ADX / DI 방향성 period=31, threshold=38 |
1.1% | -28.1% | 0.22 | 0.04 | 1.3x | 4 | 1% |
| Parabolic SAR step=0.015, maxStep=0.04 |
2.0% | -90.0% | 0.20 | 0.02 | 1.6x | 245 | 57% |
| MACD fast=15, slow=50, signal=23 |
-1.3% | -91.5% | 0.07 | -0.01 | 0.7x | 269 | 53% |
| Buy and hold | 13.1% | -68.5% | 0.52 | 0.19 | 19.6x | 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 16-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 16-day average falls below the 134-day average