Trend-Following Backtester · Guide · backtest 한국어
equity · US
NeoVolta Inc. backtest
10 trend-following strategies were compared on the full daily history of NeoVolta 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 8.8%, MDD -22.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.2%, drawdown -90.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.8%, MDD -22.7%, Sharpe 0.60, 4% exposure.
CAGR reference leader: Supertrend — CAGR 19.5%, MDD -52.5%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 8.8%, MDD -22.7%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=22 |
8.8% | -22.7% | 0.60 | 0.39 | 1.7x | 10 | 4% |
| Supertrend period=29, mult=4.6 |
19.5% | -52.5% | 0.59 | 0.37 | 3.0x | 14 | 52% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=2.5 |
11.9% | -42.6% | 0.51 | 0.28 | 2.0x | 16 | 13% |
| SMA 크로스오버 fast=30, slow=97 |
13.4% | -56.5% | 0.50 | 0.24 | 2.2x | 16 | 47% |
| ROC 모멘텀 n=19, threshold=0.13 |
12.4% | -51.9% | 0.47 | 0.24 | 2.1x | 84 | 25% |
| 볼린저 밴드 돌파 n=18, k=1.5 |
10.1% | -73.8% | 0.44 | 0.14 | 1.8x | 74 | 34% |
| Parabolic SAR step=0.025, maxStep=0.18 |
7.0% | -80.4% | 0.40 | 0.09 | 1.5x | 154 | 47% |
| EMA 크로스오버 fast=44, slow=66 |
4.9% | -56.4% | 0.35 | 0.09 | 1.3x | 14 | 49% |
| MACD fast=16, slow=34, signal=6 |
-2.1% | -81.9% | 0.29 | -0.03 | 0.9x | 112 | 45% |
| Donchian 채널 돌파 entryN=88, exitN=37 |
2.8% | -55.7% | 0.28 | 0.05 | 1.2x | 8 | 35% |
| Buy and hold | 8.2% | -90.4% | 0.53 | 0.09 | 1.6x | 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, 32-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)