Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neuropace, Inc. backtest
10 trend-following strategies were compared on the full daily history of Neuropace, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 34.7%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.9%, drawdown -95.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.7%, MDD -35.6%, Sharpe 0.94, 13% exposure.
CAGR reference leader: Supertrend — CAGR 46.7%, MDD -40.5%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 46.5%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 34.7%, MDD -35.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=14, threshold=0.2 |
34.7% | -35.6% | 0.94 | 0.97 | 4.8x | 50 | 13% |
| Supertrend period=12, mult=4.3 |
46.7% | -40.5% | 0.94 | 1.15 | 7.5x | 10 | 51% |
| 볼린저 밴드 돌파 n=26, k=3 |
35.5% | -38.1% | 0.93 | 0.93 | 5.0x | 14 | 16% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=1.8 |
35.5% | -39.6% | 0.88 | 0.90 | 5.0x | 20 | 22% |
| Donchian 채널 돌파 entryN=28, exitN=60 |
34.7% | -66.8% | 0.78 | 0.52 | 4.8x | 8 | 58% |
| SMA 크로스오버 fast=8, slow=71 |
29.3% | -48.6% | 0.74 | 0.60 | 3.9x | 26 | 39% |
| ADX / DI 방향성 period=19, threshold=17 |
23.9% | -36.8% | 0.68 | 0.65 | 3.1x | 46 | 29% |
| EMA 크로스오버 fast=32, slow=51 |
23.7% | -52.6% | 0.66 | 0.45 | 3.1x | 12 | 44% |
| MACD fast=9, slow=29, signal=19 |
17.0% | -86.2% | 0.56 | 0.20 | 2.3x | 70 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
7.4% | -69.3% | 0.40 | 0.11 | 1.5x | 42 | 44% |
| Buy and hold | -11.9% | -95.1% | 0.26 | -0.12 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than 20%
- Sell — Sell when the 14-day return drops to 20% or below