Trend-Following Backtester · Guide · backtest 한국어
equity · US
nVent Electric plc backtest
10 trend-following strategies were compared on the full daily history of nVent Electric plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.4%, MDD -28.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.5%, drawdown -57.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.4%, MDD -28.9%, Sharpe 0.83, 59% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 28.6%p (CAGR 20.4%, MDD -28.9%, exposure 59%).
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 n=200, threshold=0.05 |
20.4% | -28.9% | 0.83 | 0.70 | 4.7x | 27 | 59% |
| EMA 크로스오버 fast=6, slow=199 |
17.5% | -42.2% | 0.71 | 0.41 | 3.8x | 21 | 68% |
| Donchian 채널 돌파 entryN=101, exitN=74 |
15.9% | -27.5% | 0.71 | 0.58 | 3.4x | 11 | 52% |
| 볼린저 밴드 돌파 n=72, k=1.6 |
12.8% | -30.1% | 0.66 | 0.43 | 2.7x | 30 | 49% |
| Supertrend period=29, mult=3.7 |
14.8% | -33.7% | 0.63 | 0.44 | 3.2x | 41 | 67% |
| SMA 크로스오버 fast=13, slow=92 |
14.0% | -42.6% | 0.61 | 0.33 | 3.0x | 30 | 65% |
| Parabolic SAR step=0.02, maxStep=0.12 |
11.4% | -35.1% | 0.53 | 0.32 | 2.5x | 170 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=3.5 |
8.3% | -28.8% | 0.53 | 0.29 | 1.9x | 24 | 34% |
| MACD fast=18, slow=22, signal=16 |
9.6% | -44.1% | 0.48 | 0.22 | 2.1x | 112 | 48% |
| ADX / DI 방향성 period=14, threshold=16 |
2.7% | -49.7% | 0.23 | 0.05 | 1.3x | 142 | 47% |
| Buy and hold | 25.5% | -57.5% | 0.78 | 0.44 | 6.7x | 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 200-day return is greater than 5%
- Sell — Sell when the 200-day return drops to 5% or below