Trend-Following Backtester · Guide · backtest 한국어
equity · CA
North West Company Inc. backtest
10 trend-following strategies were compared on the full daily history of North West Company Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -50.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -42.7%, Sharpe 0.51, 99% 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 99% n=9, threshold=-0.11 |
9.3% | -42.7% | 0.51 | 0.22 | 8.4x | 29 | 99% |
| EMA 크로스오버 fast=62, slow=219 |
3.9% | -42.4% | 0.30 | 0.09 | 2.5x | 27 | 71% |
| Donchian 채널 돌파 entryN=11, exitN=53 |
3.5% | -41.9% | 0.27 | 0.08 | 2.3x | 87 | 84% |
| SMA 크로스오버 fast=79, slow=183 |
2.4% | -41.3% | 0.22 | 0.06 | 1.8x | 36 | 65% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.4% | -6.4% | 0.19 | 0.07 | 1.1x | 14 | 2% |
| ADX / DI 방향성 period=35, threshold=28 |
0.2% | -8.4% | 0.12 | 0.02 | 1.0x | 2 | 1% |
| Supertrend period=15, mult=4.6 |
-0.2% | -52.0% | 0.08 | -0.00 | 1.0x | 84 | 58% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3.1 |
0.1% | -15.1% | 0.05 | 0.01 | 1.0x | 18 | 3% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.3% | -66.8% | -0.06 | -0.03 | 0.6x | 197 | 51% |
| MACD fast=17, slow=25, signal=18 |
-3.8% | -72.8% | -0.17 | -0.05 | 0.4x | 327 | 49% |
| Buy and hold | 8.8% | -50.3% | 0.47 | 0.18 | 7.6x | 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 9-day return is greater than -11%
- Sell — Sell when the 9-day return drops to -11% or below