Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neighborhood Intelligence, Inc. backtest
10 trend-following strategies were compared on the full daily history of Neighborhood Intelligence, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.8%, MDD -62.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -97.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.8%, MDD -62.9%, Sharpe 0.71, 20% exposure.
CAGR reference leader: Supertrend — CAGR 24.8%, MDD -74.0%, exposure 40%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 21.8%, MDD -62.9%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=22, mult=3.1 |
21.8% | -62.9% | 0.71 | 0.35 | 118.3x | 64 | 20% |
| ADX / DI 방향성 period=12, threshold=29 |
23.1% | -66.1% | 0.71 | 0.35 | 151.9x | 180 | 25% |
| 볼린저 밴드 돌파 n=28, k=2.4 |
22.0% | -68.0% | 0.69 | 0.32 | 122.5x | 128 | 25% |
| Supertrend period=21, mult=2.9 |
24.8% | -74.0% | 0.69 | 0.34 | 212.3x | 140 | 40% |
| MACD fast=19, slow=52, signal=29 |
19.8% | -80.5% | 0.59 | 0.25 | 78.3x | 188 | 53% |
| Donchian 채널 돌파 entryN=54, exitN=17 |
16.6% | -87.0% | 0.57 | 0.19 | 41.0x | 76 | 28% |
| ROC 모멘텀 n=25, threshold=0.12 |
12.6% | -80.2% | 0.49 | 0.16 | 17.4x | 336 | 27% |
| EMA 크로스오버 fast=12, slow=25 |
12.5% | -86.3% | 0.48 | 0.15 | 17.3x | 188 | 45% |
| SMA 크로스오버 fast=13, slow=43 |
11.6% | -77.5% | 0.46 | 0.15 | 14.3x | 150 | 45% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.5% | -81.9% | 0.36 | 0.07 | 3.7x | 214 | 48% |
| Buy and hold | -3.9% | -97.0% | 0.33 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 36-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average