Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northrop Grumman Corporation backtest
10 trend-following strategies were compared on the full daily history of Northrop Grumman Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -58.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -74.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -58.9%, Sharpe 0.46, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.5%, MDD -67.8%, exposure 87%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 15.9%p (CAGR 7.5%, MDD -58.9%, exposure 67%).
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=34, slow=160 |
7.5% | -58.9% | 0.46 | 0.13 | 25.1x | 70 | 67% |
| SMA 크로스오버 fast=13, slow=230 |
7.3% | -53.8% | 0.45 | 0.14 | 23.1x | 84 | 66% |
| Donchian 채널 돌파 entryN=5, exitN=38 |
7.5% | -67.8% | 0.42 | 0.11 | 25.2x | 259 | 87% |
| ROC 모멘텀 n=118, threshold=-0.04 |
5.8% | -69.6% | 0.37 | 0.08 | 12.1x | 320 | 74% |
| Supertrend period=24, mult=4.7 |
4.8% | -47.8% | 0.34 | 0.10 | 8.2x | 170 | 59% |
| MACD fast=27, slow=38, signal=23 |
3.2% | -49.2% | 0.26 | 0.07 | 4.1x | 423 | 52% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
0.8% | -12.8% | 0.22 | 0.06 | 1.4x | 28 | 3% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=1.8 |
2.2% | -49.6% | 0.22 | 0.04 | 2.7x | 360 | 37% |
| ADX / DI 방향성 period=24, threshold=12 |
1.4% | -67.0% | 0.17 | 0.02 | 1.9x | 550 | 48% |
| Parabolic SAR step=0.015, maxStep=0.02 |
1.2% | -69.5% | 0.16 | 0.02 | 1.7x | 278 | 59% |
| Buy and hold | 9.9% | -74.8% | 0.48 | 0.13 | 68.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 160-day EMA
- Sell — Sell when the 34-day EMA falls below the 160-day EMA