Trend-Following Backtester · Guide · backtest 한국어
equity · US
Navigator Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Navigator Holdings Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.5%, MDD -66.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.5%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -74.7%, Sharpe 0.31, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR -1.5%, MDD -66.8%, exposure 9%).
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=21, slow=56 |
3.9% | -74.7% | 0.31 | 0.05 | 2.1x | 84 | 52% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
-0.7% | -86.8% | 0.24 | -0.01 | 0.9x | 51 | 89% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.7% | -84.1% | 0.21 | 0.01 | 1.1x | 239 | 53% |
| Supertrend period=13, mult=3.8 |
-0.8% | -75.3% | 0.17 | -0.01 | 0.8x | 97 | 64% |
| ROC 모멘텀 n=53, threshold=0 |
-1.1% | -78.2% | 0.14 | -0.01 | 0.8x | 200 | 52% |
| EMA 크로스오버 fast=33, slow=46 |
-2.0% | -80.8% | 0.11 | -0.02 | 0.7x | 76 | 55% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
-1.7% | -78.0% | 0.11 | -0.02 | 0.7x | 84 | 40% |
| ADX / DI 방향성 period=27, threshold=45 |
-1.5% | -66.8% | 0.06 | -0.02 | 0.8x | 12 | 9% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=3.6 |
-4.8% | -84.5% | -0.05 | -0.06 | 0.4x | 52 | 31% |
| MACD fast=12, slow=50, signal=17 |
-11.2% | -96.1% | -0.09 | -0.12 | 0.1x | 221 | 51% |
| Buy and hold | -1.5% | -93.5% | 0.24 | -0.02 | 0.8x | 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 21-day average price crosses above the 56-day average
- Sell — Sell (to cash) when the 21-day average falls below the 56-day average