Trend-Following Backtester · Guide · backtest 한국어
equity · US
Natural Gas Services Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Natural Gas Services Group, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.5%, MDD -68.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.5%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -73.4%, Sharpe 0.48, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 10.5%, MDD -68.4%, exposure 59%).
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=32, slow=98 |
11.1% | -73.4% | 0.48 | 0.15 | 12.1x | 61 | 54% |
| EMA 크로스오버 fast=51, slow=154 |
10.5% | -68.4% | 0.46 | 0.15 | 10.8x | 33 | 59% |
| Donchian 채널 돌파 entryN=37, exitN=50 |
9.1% | -80.9% | 0.42 | 0.11 | 8.0x | 54 | 61% |
| 볼린저 밴드 돌파 n=99, k=1.3 |
6.2% | -68.9% | 0.35 | 0.09 | 4.1x | 80 | 42% |
| ADX / DI 방향성 period=25, threshold=29 |
3.1% | -45.4% | 0.28 | 0.07 | 2.1x | 22 | 4% |
| ROC 모멘텀 n=148, threshold=0.08 |
3.5% | -80.1% | 0.27 | 0.04 | 2.3x | 218 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.2% | -85.9% | 0.26 | 0.04 | 2.1x | 188 | 52% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=3.2 |
2.0% | -36.3% | 0.22 | 0.06 | 1.6x | 36 | 5% |
| Supertrend period=23, mult=4.3 |
-0.0% | -93.2% | 0.16 | -0.00 | 1.0x | 90 | 52% |
| MACD fast=20, slow=24, signal=18 |
-1.1% | -90.7% | 0.15 | -0.01 | 0.8x | 316 | 52% |
| Buy and hold | 9.5% | -89.6% | 0.43 | 0.11 | 8.6x | 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 32-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 32-day average falls below the 98-day average