Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Neo Performance Materials, Inc. backtest
10 trend-following strategies were compared on the full daily history of Neo Performance Materials, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.7%, MDD -33.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.5%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.2%, MDD -33.3%, Sharpe 0.83, 41% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 19.7%, MDD -33.3%, exposure 35%).
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=25, slow=243 |
25.2% | -33.3% | 0.83 | 0.76 | 7.0x | 3 | 41% |
| EMA 크로스오버 fast=28, slow=218 |
22.8% | -38.7% | 0.77 | 0.59 | 5.9x | 5 | 42% |
| ROC 모멘텀 n=200, threshold=0.07 |
19.7% | -33.3% | 0.72 | 0.59 | 4.7x | 31 | 35% |
| ADX / DI 방향성 period=38, threshold=11 |
11.4% | -51.9% | 0.49 | 0.22 | 2.6x | 75 | 44% |
| Donchian 채널 돌파 entryN=115, exitN=42 |
8.9% | -46.7% | 0.43 | 0.19 | 2.1x | 11 | 32% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=4 |
6.2% | -50.9% | 0.37 | 0.12 | 1.7x | 16 | 20% |
| MACD fast=9, slow=45, signal=19 |
3.7% | -71.0% | 0.28 | 0.05 | 1.4x | 106 | 51% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
3.3% | -62.3% | 0.26 | 0.05 | 1.3x | 54 | 37% |
| Supertrend period=26, mult=3.5 |
-0.2% | -72.3% | 0.19 | -0.00 | 1.0x | 52 | 58% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-7.8% | -82.0% | -0.02 | -0.09 | 0.5x | 158 | 51% |
| Buy and hold | 7.5% | -75.1% | 0.40 | 0.10 | 1.9x | 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 25-day average price crosses above the 243-day average
- Sell — Sell (to cash) when the 25-day average falls below the 243-day average