Trend-Following Backtester · Guide · backtest 한국어
equity · US
NewtekOne, Inc. backtest
10 trend-following strategies were compared on the full daily history of NewtekOne, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -44.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -73.3%, Sharpe 0.37, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 2.0%, MDD -44.0%, exposure 8%).
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=43, slow=211 |
6.9% | -73.3% | 0.37 | 0.09 | 5.6x | 33 | 52% |
| EMA 크로스오버 fast=53, slow=57 |
5.4% | -75.7% | 0.32 | 0.07 | 3.8x | 55 | 53% |
| Parabolic SAR step=0.01, maxStep=0.32 |
3.9% | -82.8% | 0.29 | 0.05 | 2.7x | 292 | 48% |
| Donchian 채널 돌파 entryN=56, exitN=39 |
4.0% | -75.6% | 0.29 | 0.05 | 2.8x | 55 | 48% |
| ADX / DI 방향성 period=26, threshold=26 |
2.0% | -44.0% | 0.21 | 0.05 | 1.7x | 36 | 8% |
| Supertrend period=18, mult=3.8 |
-1.1% | -88.1% | 0.17 | -0.01 | 0.8x | 107 | 52% |
| MACD fast=18, slow=50, signal=16 |
-4.7% | -91.0% | 0.11 | -0.05 | 0.3x | 288 | 52% |
| ROC 모멘텀 n=140, threshold=0.01 |
-2.9% | -85.5% | 0.09 | -0.03 | 0.5x | 267 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=9, mult=3.1 |
-1.6% | -52.1% | 0.04 | -0.03 | 0.7x | 75 | 18% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
-1.3% | -56.9% | 0.00 | -0.02 | 0.7x | 42 | 9% |
| Buy and hold | -2.9% | -97.3% | 0.26 | -0.03 | 0.5x | 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 43-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 43-day average falls below the 211-day average