Trend-Following Backtester · Guide · backtest 한국어
equity · US
NewMarket Corp backtest
10 trend-following strategies were compared on the full daily history of NewMarket Corp. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -68.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -97.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -68.5%, Sharpe 0.55, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 11.3%, MDD -68.5%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=212 |
11.3% | -68.5% | 0.55 | 0.17 | 146.4x | 49 | 55% |
| SMA 크로스오버 fast=38, slow=189 |
9.9% | -87.4% | 0.49 | 0.11 | 79.7x | 77 | 55% |
| 볼린저 밴드 돌파 n=73, k=2.9 |
6.9% | -57.9% | 0.48 | 0.12 | 22.3x | 67 | 21% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=4 |
6.5% | -66.5% | 0.46 | 0.10 | 18.3x | 93 | 22% |
| Donchian 채널 돌파 entryN=16, exitN=71 |
9.8% | -95.4% | 0.45 | 0.10 | 75.9x | 131 | 78% |
| MACD fast=31, slow=65, signal=51 |
8.8% | -84.0% | 0.44 | 0.10 | 49.3x | 247 | 53% |
| ADX / DI 방향성 period=27, threshold=28 |
4.2% | -32.9% | 0.43 | 0.13 | 6.6x | 38 | 8% |
| Supertrend period=26, mult=5 |
5.5% | -93.5% | 0.34 | 0.06 | 12.1x | 141 | 53% |
| ROC 모멘텀 n=94, threshold=0.14 |
4.8% | -87.0% | 0.33 | 0.06 | 8.8x | 357 | 30% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.5% | -92.1% | 0.23 | 0.03 | 3.2x | 371 | 51% |
| Buy and hold | 10.1% | -97.5% | 0.44 | 0.10 | 85.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 212-day EMA
- Sell — Sell when the 55-day EMA falls below the 212-day EMA