Trend-Following Backtester · Guide · backtest 한국어
equity · US
Noble Corporation plc A backtest
10 trend-following strategies were compared on the full daily history of Noble Corporation plc A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.5%, MDD -19.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.9%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -37.8%, Sharpe 0.75, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 9.5%, MDD -19.4%, exposure 15%).
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=35, slow=180 |
21.1% | -37.8% | 0.75 | 0.56 | 2.7x | 7 | 56% |
| EMA 크로스오버 fast=78, slow=141 |
18.7% | -37.8% | 0.68 | 0.50 | 2.4x | 5 | 61% |
| ROC 모멘텀 n=15, threshold=0.12 |
9.5% | -19.4% | 0.62 | 0.49 | 1.6x | 56 | 15% |
| Donchian 채널 돌파 entryN=57, exitN=66 |
14.4% | -39.8% | 0.57 | 0.36 | 2.0x | 8 | 64% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=2.7 |
6.3% | -16.1% | 0.54 | 0.39 | 1.4x | 10 | 8% |
| MACD fast=12, slow=26, signal=4 |
8.9% | -35.7% | 0.43 | 0.25 | 1.5x | 131 | 49% |
| Supertrend period=16, mult=2.1 |
6.5% | -38.6% | 0.36 | 0.17 | 1.4x | 58 | 57% |
| ADX / DI 방향성 period=30, threshold=32 |
2.4% | -9.6% | 0.35 | 0.25 | 1.1x | 2 | 4% |
| 볼린저 밴드 돌파 n=52, k=3 |
3.5% | -17.5% | 0.31 | 0.20 | 1.2x | 8 | 13% |
| Parabolic SAR step=0.015, maxStep=0.16 |
2.7% | -30.5% | 0.24 | 0.09 | 1.1x | 90 | 52% |
| Buy and hold | 10.9% | -65.9% | 0.46 | 0.17 | 1.7x | 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 35-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 35-day average falls below the 180-day average