Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newmark Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Newmark Group, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.3%, MDD -12.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.3%, MDD -12.4%, Sharpe 0.90, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.9%, MDD -33.8%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 72.6%p (CAGR 10.3%, MDD -12.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=2.9 |
10.3% | -12.4% | 0.90 | 0.83 | 2.3x | 14 | 8% |
| ROC 모멘텀 n=114, threshold=0.12 |
19.9% | -33.8% | 0.82 | 0.59 | 4.9x | 36 | 38% |
| Donchian 채널 돌파 entryN=66, exitN=5 |
11.6% | -25.6% | 0.78 | 0.45 | 2.6x | 36 | 16% |
| SMA 크로스오버 fast=25, slow=119 |
18.1% | -35.8% | 0.73 | 0.51 | 4.3x | 17 | 46% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
12.4% | -35.9% | 0.66 | 0.35 | 2.8x | 20 | 16% |
| EMA 크로스오버 fast=43, slow=66 |
12.3% | -39.1% | 0.55 | 0.31 | 2.7x | 27 | 47% |
| ADX / DI 방향성 period=27, threshold=18 |
9.5% | -42.3% | 0.53 | 0.22 | 2.2x | 38 | 25% |
| MACD fast=14, slow=52, signal=16 |
10.8% | -54.4% | 0.46 | 0.20 | 2.4x | 93 | 50% |
| Supertrend period=9, mult=3.4 |
6.9% | -48.8% | 0.37 | 0.14 | 1.8x | 48 | 49% |
| Parabolic SAR step=0.02, maxStep=0.3 |
1.5% | -59.3% | 0.22 | 0.03 | 1.1x | 189 | 51% |
| Buy and hold | 1.0% | -85.0% | 0.29 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average