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. 0 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
0 of 10 beat buy and hold (CAGR 44.6%, drawdown -63.2%).
Sharpe leader (same as main): Supertrend — CAGR 41.8%, MDD -44.7%, Sharpe 0.95, 69% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 18.5%p (CAGR 41.8%, MDD -44.7%, exposure 69%).
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% | 0.95 | 0.94 | 10.7x | 19 | 69% |
| Parabolic SAR step=0.025, maxStep=0.3 |
35.3% | -63.2% | 0.89 | 0.56 | 7.8x | 161 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=41 |
33.9% | -67.9% | 0.81 | 0.50 | 7.3x | 25 | 78% |
| SMA 크로스오버 fast=38, slow=78 |
25.6% | -63.2% | 0.72 | 0.40 | 4.7x | 24 | 60% |
| 볼린저 밴드 돌파 n=25, k=0.9 |
24.0% | -46.4% | 0.70 | 0.52 | 4.3x | 89 | 47% |
| MACD fast=14, slow=59, signal=19 |
22.2% | -47.5% | 0.68 | 0.47 | 3.9x | 79 | 50% |
| ROC 모멘텀 n=49, threshold=-0.03 |
23.1% | -59.4% | 0.67 | 0.39 | 4.1x | 72 | 65% |
| ADX / DI 방향성 period=8, threshold=11 |
22.1% | -60.0% | 0.66 | 0.37 | 3.9x | 165 | 60% |
| EMA 크로스오버 fast=16, slow=17 |
19.5% | -55.9% | 0.61 | 0.35 | 3.4x | 61 | 57% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.1 |
8.3% | -49.5% | 0.40 | 0.17 | 1.7x | 75 | 46% |
| Buy and hold | 44.6% | -63.2% | 0.92 | 0.71 | 12.2x | 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)