Trend-Following Backtester · Guide · backtest 한국어

equity · US

Netlist, Inc. backtest

10 trend-following strategies were compared on the full daily history of Netlist, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 2006-12-11 ~ 2026-07-31daily bars 4,939 (19.6 years)Costs 0.5%Venue OTCMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -6.9%, drawdown -99.2%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.0%, MDD -81.2%, Sharpe 0.68, 37% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=17, slow=43
33.0%-81.2%0.680.41271.7x7037%
SMA 크로스오버
fast=5, slow=101
31.3%-86.5%0.670.36210.7x6939%
볼린저 밴드 돌파
n=41, k=1.9
26.3%-82.1%0.620.3298.1x9226%
ROC 모멘텀
n=25, threshold=0.08
24.1%-83.1%0.600.2969.4x30230%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=11, mult=0.5
20.0%-93.7%0.570.2135.9x17034%
Donchian 채널 돌파
entryN=27, exitN=27
20.2%-94.0%0.570.2237.3x7139%
Supertrend
period=9, mult=4.3
14.3%-94.9%0.530.1513.9x5951%
ADX / DI 방향성
period=31, threshold=21
15.8%-90.5%0.510.1717.8x5820%
MACD
fast=17, slow=33, signal=17
5.6%-93.9%0.490.062.9x24052%
Parabolic SAR
step=0.015, maxStep=0.24
-4.0%-98.3%0.34-0.040.5x26038%
Buy and hold-6.9%-99.2%0.48-0.070.2x1100%
0.1 1x 10x 100x 2007 2010 2013 2016 2019 2022 2025 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -74% -99% 2007 2010 2013 2016 2019 2022 2025 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -81.2% (2018-09-10 → 2020-06-24), recovered after 1,023 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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