Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Novoray Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Novoray Corporation Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 41.8%, MDD -44.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 33.1%, drawdown -61.6%).
Sharpe leader (same as main): Supertrend — CAGR 41.8%, MDD -44.7%, Sharpe 0.94, 70% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 41.8%, MDD -44.7%, exposure 70%).
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=16, mult=4.6 |
41.8% | -44.7% | 0.94 | 0.94 | 10.4x | 18 | 70% |
| Parabolic SAR step=0.025, maxStep=0.3 |
33.1% | -63.2% | 0.86 | 0.52 | 6.8x | 158 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=41 |
31.4% | -61.8% | 0.78 | 0.51 | 6.2x | 24 | 78% |
| ROC 모멘텀 n=49, threshold=-0.03 |
24.7% | -56.6% | 0.70 | 0.44 | 4.4x | 68 | 65% |
| 볼린저 밴드 돌파 n=25, k=0.9 |
21.5% | -46.4% | 0.66 | 0.46 | 3.7x | 88 | 47% |
| SMA 크로스오버 fast=38, slow=78 |
21.1% | -61.6% | 0.65 | 0.34 | 3.6x | 23 | 60% |
| MACD fast=14, slow=59, signal=19 |
19.7% | -47.5% | 0.63 | 0.41 | 3.3x | 78 | 50% |
| EMA 크로스오버 fast=16, slow=17 |
18.6% | -55.9% | 0.60 | 0.33 | 3.1x | 58 | 57% |
| ADX / DI 방향성 period=8, threshold=11 |
17.5% | -60.0% | 0.58 | 0.29 | 3.0x | 162 | 59% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.1 |
7.9% | -49.5% | 0.39 | 0.16 | 1.7x | 74 | 46% |
| Buy and hold | 33.1% | -61.6% | 0.79 | 0.54 | 6.8x | 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) — 16-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)