Trend-Following Backtester · Guide · backtest 한국어
equity · US
Novanta Inc. backtest
10 trend-following strategies were compared on the full daily history of Novanta Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -58.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.3%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.9%, MDD -73.4%, Sharpe 0.59, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.4%, MDD -79.7%, exposure 71%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 9.2%, MDD -58.5%, exposure 42%).
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=62 |
16.9% | -73.4% | 0.59 | 0.23 | 71.0x | 118 | 58% |
| Donchian 채널 돌파 entryN=23, exitN=43 |
17.4% | -79.7% | 0.59 | 0.22 | 81.1x | 67 | 71% |
| EMA 크로스오버 fast=36, slow=93 |
15.1% | -59.3% | 0.58 | 0.26 | 47.3x | 57 | 59% |
| Supertrend period=25, mult=2.5 |
9.9% | -75.3% | 0.45 | 0.13 | 13.2x | 224 | 53% |
| ROC 모멘텀 n=152, threshold=-0.09 |
10.3% | -85.4% | 0.45 | 0.12 | 14.6x | 165 | 70% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
9.2% | -58.5% | 0.43 | 0.16 | 11.1x | 262 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.7% | -86.0% | 0.41 | 0.10 | 9.9x | 218 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=26, mult=3.8 |
4.5% | -78.6% | 0.31 | 0.06 | 3.3x | 60 | 16% |
| ADX / DI 방향성 period=23, threshold=41 |
1.5% | -21.0% | 0.29 | 0.07 | 1.5x | 8 | 2% |
| MACD fast=17, slow=48, signal=13 |
1.4% | -95.8% | 0.23 | 0.01 | 1.5x | 354 | 52% |
| Buy and hold | 8.3% | -98.9% | 0.41 | 0.08 | 8.9x | 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 62-day average
- Sell — Sell (to cash) when the 16-day average falls below the 62-day average