Trend-Following Backtester · Guide · backtest 한국어
equity · US
NCR Voyix Corporation backtest
10 trend-following strategies were compared on the full daily history of NCR Voyix Corporation. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.0%, MDD -43.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.0%, drawdown -87.9%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -56.8%, Sharpe 0.32, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 3.0%, MDD -43.1%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=4.4 |
5.1% | -56.8% | 0.32 | 0.09 | 4.4x | 117 | 53% |
| ADX / DI 방향성 period=38, threshold=14 |
3.0% | -43.1% | 0.25 | 0.07 | 2.4x | 132 | 29% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=9, mult=1.7 |
3.0% | -59.8% | 0.25 | 0.05 | 2.4x | 157 | 41% |
| Donchian 채널 돌파 entryN=57, exitN=65 |
2.8% | -61.6% | 0.24 | 0.05 | 2.2x | 57 | 54% |
| 볼린저 밴드 돌파 n=75, k=1.5 |
2.7% | -58.4% | 0.23 | 0.05 | 2.2x | 101 | 38% |
| SMA 크로스오버 fast=21, slow=116 |
2.2% | -57.9% | 0.22 | 0.04 | 1.9x | 85 | 51% |
| MACD fast=14, slow=59, signal=6 |
0.6% | -85.6% | 0.17 | 0.01 | 1.2x | 507 | 52% |
| EMA 크로스오버 fast=33, slow=57 |
0.3% | -70.0% | 0.14 | 0.00 | 1.1x | 97 | 52% |
| ROC 모멘텀 n=102, threshold=0.02 |
-1.3% | -78.1% | 0.07 | -0.02 | 0.7x | 278 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.9% | -89.8% | -0.03 | -0.05 | 0.2x | 502 | 52% |
| Buy and hold | -1.0% | -87.9% | 0.20 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)