Trend-Following Backtester · Guide · backtest 한국어
equity · US
Natural Grocers by Vitamin Cottage, Inc. backtest
10 trend-following strategies were compared on the full daily history of Natural Grocers by Vitamin Cottage, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.9%, MDD -46.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.2%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -48.6%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 8.9%, MDD -46.0%, exposure 27%).
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=14, slow=144 |
18.7% | -48.6% | 0.62 | 0.38 | 11.0x | 23 | 49% |
| EMA 크로스오버 fast=13, slow=114 |
17.1% | -49.0% | 0.59 | 0.35 | 9.1x | 29 | 46% |
| ROC 모멘텀 n=113, threshold=0.01 |
13.3% | -56.9% | 0.50 | 0.23 | 5.8x | 81 | 49% |
| Supertrend period=20, mult=5 |
12.4% | -57.2% | 0.49 | 0.22 | 5.2x | 35 | 50% |
| Donchian 채널 돌파 entryN=65, exitN=78 |
11.8% | -60.1% | 0.47 | 0.20 | 4.8x | 19 | 48% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
8.3% | -54.0% | 0.44 | 0.15 | 3.1x | 22 | 20% |
| ADX / DI 방향성 period=38, threshold=15 |
8.9% | -46.0% | 0.42 | 0.19 | 3.3x | 52 | 27% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=3.8 |
6.9% | -50.7% | 0.37 | 0.14 | 2.5x | 28 | 22% |
| MACD fast=15, slow=59, signal=16 |
1.8% | -78.2% | 0.23 | 0.02 | 1.3x | 152 | 53% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-2.1% | -81.7% | 0.13 | -0.03 | 0.7x | 255 | 48% |
| Buy and hold | 4.2% | -89.0% | 0.35 | 0.05 | 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 14-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 14-day average falls below the 144-day average