Trend-Following Backtester · Guide · backtest 한국어
equity · US
NAPCO Security Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of NAPCO Security Technologies, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.7%, MDD -53.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.4%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -53.1%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 13.7%, MDD -53.1%, exposure 58%).
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=79, slow=142 |
13.7% | -53.1% | 0.52 | 0.26 | 306.9x | 80 | 58% |
| EMA 크로스오버 fast=43, slow=248 |
12.2% | -57.1% | 0.49 | 0.21 | 169.6x | 40 | 61% |
| Donchian 채널 돌파 entryN=56, exitN=92 |
10.9% | -84.1% | 0.45 | 0.13 | 101.6x | 65 | 66% |
| ADX / DI 방향성 period=36, threshold=11 |
5.6% | -76.6% | 0.35 | 0.07 | 11.2x | 333 | 58% |
| Supertrend period=14, mult=4.5 |
2.8% | -88.6% | 0.28 | 0.03 | 3.4x | 146 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.8% | -95.3% | 0.22 | 0.01 | 1.4x | 310 | 50% |
| ROC 모멘텀 n=133, threshold=0 |
-0.4% | -98.0% | 0.20 | -0.00 | 0.9x | 408 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=2.9 |
1.0% | -78.5% | 0.17 | 0.01 | 1.6x | 148 | 29% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
-0.3% | -89.4% | 0.15 | -0.00 | 0.9x | 188 | 33% |
| MACD fast=19, slow=47, signal=19 |
-12.2% | -99.9% | -0.07 | -0.12 | 0.0x | 514 | 50% |
| Buy and hold | 11.4% | -93.1% | 0.48 | 0.12 | 125.1x | 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 79-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 79-day average falls below the 142-day average