Trend-Following Backtester · Guide · backtest 한국어
equity · US
NVIDIA Corporation backtest
10 trend-following strategies were compared on the full daily history of NVIDIA Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 38.4%, MDD -60.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 36.1%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 39.4%, MDD -61.0%, Sharpe 0.96, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 42.4%, MDD -69.5%, exposure 85%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 38.4%, MDD -60.2%, exposure 70%).
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=43, slow=135 |
39.4% | -61.0% | 0.96 | 0.65 | 9375.9x | 41 | 70% |
| EMA 크로스오버 fast=46, slow=75 |
38.4% | -60.2% | 0.96 | 0.64 | 7631.6x | 57 | 70% |
| Donchian 채널 돌파 entryN=16, exitN=73 |
42.4% | -69.5% | 0.95 | 0.61 | 16686.6x | 55 | 85% |
| ROC 모멘텀 n=103, threshold=-0.03 |
35.0% | -59.6% | 0.89 | 0.59 | 3848.5x | 191 | 72% |
| Supertrend period=24, mult=5 |
29.3% | -57.0% | 0.86 | 0.51 | 1190.8x | 82 | 57% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
22.4% | -55.6% | 0.79 | 0.40 | 261.4x | 118 | 36% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=25, mult=2.4 |
22.8% | -55.3% | 0.78 | 0.41 | 286.7x | 140 | 40% |
| ADX / DI 방향성 period=34, threshold=9 |
25.9% | -76.5% | 0.77 | 0.34 | 571.8x | 288 | 55% |
| MACD fast=24, slow=46, signal=22 |
22.2% | -74.6% | 0.69 | 0.30 | 249.4x | 258 | 52% |
| Parabolic SAR step=0.05, maxStep=0.12 |
13.9% | -78.3% | 0.52 | 0.18 | 35.6x | 758 | 55% |
| Buy and hold | 36.1% | -89.7% | 0.82 | 0.40 | 4872.3x | 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 43-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 43-day average falls below the 135-day average