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 SMA 크로스오버 (CAGR 20.4%, MDD -37.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.4%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.4%, MDD -37.8%, Sharpe 0.74, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 20.4%, MDD -37.8%, exposure 55%).
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 |
20.4% | -37.8% | 0.74 | 0.54 | 2.6x | 9 | 55% |
| EMA 크로스오버 fast=78, slow=141 |
20.1% | -37.8% | 0.71 | 0.53 | 2.6x | 5 | 62% |
| ROC 모멘텀 n=15, threshold=0.12 |
8.7% | -19.4% | 0.58 | 0.45 | 1.5x | 61 | 15% |
| Donchian 채널 돌파 entryN=57, exitN=66 |
14.1% | -39.8% | 0.56 | 0.35 | 2.0x | 8 | 63% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=2.7 |
6.2% | -16.1% | 0.53 | 0.39 | 1.4x | 10 | 8% |
| MACD fast=12, slow=26, signal=4 |
7.5% | -35.7% | 0.39 | 0.21 | 1.5x | 136 | 49% |
| Supertrend period=16, mult=2.1 |
6.9% | -38.6% | 0.37 | 0.18 | 1.4x | 59 | 57% |
| ADX / DI 방향성 period=30, threshold=32 |
2.3% | -9.6% | 0.34 | 0.24 | 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 |
3.5% | -30.5% | 0.27 | 0.12 | 1.2x | 91 | 52% |
| Buy and hold | 12.4% | -65.9% | 0.49 | 0.19 | 1.8x | 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