Trend-Following Backtester · Guide · backtest 한국어
equity · US
NextDecade Corporation backtest
10 trend-following strategies were compared on the full daily history of NextDecade Corporation. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.1%, MDD -55.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -88.8%).
Sharpe leader (same as main): MACD — CAGR 23.3%, MDD -67.3%, Sharpe 0.62, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.9%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 15.1%, MDD -55.3%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=38, signal=9 |
23.3% | -67.3% | 0.62 | 0.35 | 10.3x | 146 | 52% |
| 볼린저 밴드 돌파 n=17, k=2.1 |
15.1% | -55.3% | 0.51 | 0.27 | 4.8x | 102 | 24% |
| ROC 모멘텀 n=13, threshold=0.07 |
12.2% | -60.2% | 0.46 | 0.20 | 3.6x | 230 | 23% |
| Parabolic SAR step=0.02, maxStep=0.1 |
7.4% | -76.0% | 0.39 | 0.10 | 2.2x | 188 | 52% |
| Supertrend period=8, mult=2.1 |
6.1% | -64.9% | 0.37 | 0.09 | 1.9x | 114 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=105 |
2.5% | -72.2% | 0.36 | 0.04 | 1.3x | 27 | 76% |
| ADX / DI 방향성 period=15, threshold=19 |
5.4% | -69.1% | 0.34 | 0.08 | 1.8x | 108 | 44% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=1.4 |
3.3% | -64.3% | 0.28 | 0.05 | 1.4x | 100 | 19% |
| SMA 크로스오버 fast=48, slow=64 |
-10.1% | -80.4% | 0.04 | -0.13 | 0.3x | 60 | 50% |
| EMA 크로스오버 fast=36, slow=376 |
-10.5% | -73.9% | -0.01 | -0.14 | 0.3x | 19 | 41% |
| Buy and hold | -3.5% | -88.8% | 0.34 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/38) crosses above its 9-day signal line
- Sell — Sell when the MACD line crosses back below the signal line