Trend-Following Backtester · Guide · backtest 한국어
equity · US
NETGEAR, Inc. backtest
10 trend-following strategies were compared on the full daily history of NETGEAR, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -62.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -78.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -68.7%, Sharpe 0.31, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 4.2%, MDD -62.7%, exposure 53%).
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=59, slow=186 |
4.9% | -68.7% | 0.31 | 0.07 | 3.0x | 35 | 53% |
| Donchian 채널 돌파 entryN=38, exitN=38 |
4.2% | -62.7% | 0.29 | 0.07 | 2.6x | 74 | 53% |
| Supertrend period=9, mult=2.6 |
2.5% | -63.9% | 0.23 | 0.04 | 1.8x | 175 | 48% |
| ROC 모멘텀 n=130, threshold=-0.02 |
2.3% | -73.4% | 0.23 | 0.03 | 1.7x | 167 | 54% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
1.7% | -70.0% | 0.20 | 0.02 | 1.5x | 152 | 40% |
| EMA 크로스오버 fast=34, slow=218 |
1.2% | -74.1% | 0.19 | 0.02 | 1.3x | 40 | 52% |
| ADX / DI 방향성 period=22, threshold=20 |
1.0% | -51.2% | 0.15 | 0.02 | 1.3x | 120 | 22% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=1.2 |
-0.7% | -69.6% | 0.12 | -0.01 | 0.9x | 182 | 40% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.8% | -68.9% | 0.09 | -0.03 | 0.7x | 187 | 48% |
| MACD fast=15, slow=25, signal=18 |
-3.9% | -78.8% | 0.02 | -0.05 | 0.4x | 303 | 50% |
| Buy and hold | 3.5% | -78.9% | 0.30 | 0.04 | 2.2x | 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 59-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 59-day average falls below the 186-day average