Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Presto Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of National Presto Industries, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.4%, drawdown -68.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -68.5%, Sharpe 0.38, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.15 |
6.9% | -68.5% | 0.38 | 0.10 | 22.2x | 11 | 100% |
| ADX / DI 방향성 period=35, threshold=36 |
0.5% | -11.5% | 0.29 | 0.04 | 1.3x | 2 | 1% |
| SMA 크로스오버 fast=18, slow=405 |
3.8% | -65.7% | 0.29 | 0.06 | 5.7x | 57 | 54% |
| EMA 크로스오버 fast=46, slow=209 |
2.3% | -76.7% | 0.21 | 0.03 | 2.8x | 73 | 56% |
| Donchian 채널 돌파 entryN=18, exitN=75 |
2.1% | -80.2% | 0.21 | 0.03 | 2.6x | 131 | 79% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.8% | -38.5% | 0.19 | 0.02 | 1.4x | 41 | 3% |
| Supertrend period=9, mult=4.9 |
-1.5% | -85.8% | 0.01 | -0.02 | 0.5x | 217 | 51% |
| MACD fast=28, slow=78, signal=26 |
-3.3% | -91.9% | -0.09 | -0.04 | 0.2x | 365 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.6% | -94.7% | -0.11 | -0.04 | 0.2x | 379 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=4 |
-1.9% | -78.4% | -0.11 | -0.02 | 0.4x | 137 | 20% |
| Buy and hold | 6.4% | -68.5% | 0.37 | 0.09 | 18.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -15%
- Sell — Sell when the 3-day return drops to -15% or below