Trend-Following Backtester · Guide · backtest 한국어
equity · US
NVE Corporation backtest
10 trend-following strategies were compared on the full daily history of NVE Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -91.0%, Sharpe 0.33, 52% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.2%, MDD -89.0%, exposure 20%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=50, slow=61 |
-0.1% | -91.0% | 0.33 | -0.00 | 1.0x | 207 | 52% |
| ADX / DI 방향성 period=30, threshold=18 |
2.2% | -89.0% | 0.30 | 0.02 | 1.9x | 112 | 20% |
| Donchian 채널 돌파 entryN=75, exitN=79 |
-2.7% | -91.0% | 0.28 | -0.03 | 0.4x | 55 | 49% |
| EMA 크로스오버 fast=63, slow=71 |
-4.7% | -97.2% | 0.25 | -0.05 | 0.2x | 83 | 48% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-9.1% | -99.5% | 0.20 | -0.09 | 0.1x | 245 | 50% |
| Supertrend period=17, mult=5 |
-11.4% | -99.9% | 0.18 | -0.11 | 0.0x | 123 | 53% |
| MACD fast=41, slow=64, signal=40 |
-11.6% | -99.5% | 0.16 | -0.12 | 0.0x | 165 | 52% |
| ROC 모멘텀 n=154, threshold=0.09 |
-9.9% | -99.3% | 0.14 | -0.10 | 0.0x | 293 | 36% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
0.4% | -26.4% | 0.09 | 0.02 | 1.1x | 10 | 0% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=13, mult=3.7 |
-1.9% | -93.5% | 0.06 | -0.02 | 0.5x | 43 | 5% |
| Buy and hold | 9.8% | -97.6% | 0.54 | 0.10 | 18.5x | 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 50-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 50-day average falls below the 61-day average