Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nelnet, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nelnet, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.0%, MDD -37.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -90.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -37.8%, Sharpe 0.46, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 8.0%, MDD -37.8%, exposure 70%).
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=65, slow=260 |
8.0% | -37.8% | 0.46 | 0.21 | 5.8x | 17 | 70% |
| ADX / DI 방향성 period=23, threshold=37 |
1.3% | -8.7% | 0.43 | 0.15 | 1.3x | 6 | 1% |
| Donchian 채널 돌파 entryN=58, exitN=84 |
7.6% | -45.5% | 0.41 | 0.17 | 5.3x | 29 | 69% |
| SMA 크로스오버 fast=52, slow=117 |
6.0% | -64.6% | 0.35 | 0.09 | 3.7x | 48 | 61% |
| ROC 모멘텀 n=120, threshold=-0.02 |
5.4% | -58.5% | 0.34 | 0.09 | 3.3x | 142 | 65% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
1.5% | -31.1% | 0.26 | 0.05 | 1.4x | 36 | 4% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.3 |
1.4% | -27.1% | 0.22 | 0.05 | 1.4x | 60 | 8% |
| Supertrend period=9, mult=2.5 |
0.9% | -71.7% | 0.16 | 0.01 | 1.2x | 194 | 56% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.6% | -78.8% | 0.11 | -0.01 | 0.9x | 199 | 56% |
| MACD fast=8, slow=54, signal=17 |
-3.8% | -75.9% | -0.02 | -0.05 | 0.4x | 368 | 49% |
| Buy and hold | 8.0% | -90.2% | 0.40 | 0.09 | 5.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 260-day EMA
- Sell — Sell when the 65-day EMA falls below the 260-day EMA