Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newmark Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Newmark Group, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.4%, MDD -12.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.4%, MDD -12.4%, Sharpe 0.90, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 21.2%, MDD -33.8%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 72.6%p (CAGR 10.4%, MDD -12.4%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=2.9 |
10.4% | -12.4% | 0.90 | 0.83 | 2.3x | 14 | 8% |
| ROC 모멘텀 n=114, threshold=0.12 |
21.2% | -33.8% | 0.86 | 0.63 | 5.2x | 32 | 39% |
| Donchian 채널 돌파 entryN=66, exitN=5 |
12.6% | -25.6% | 0.83 | 0.49 | 2.8x | 34 | 16% |
| SMA 크로스오버 fast=25, slow=119 |
18.1% | -35.8% | 0.73 | 0.50 | 4.2x | 17 | 46% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
12.6% | -35.9% | 0.66 | 0.35 | 2.8x | 20 | 16% |
| EMA 크로스오버 fast=43, slow=66 |
13.9% | -39.1% | 0.61 | 0.36 | 3.1x | 24 | 47% |
| ADX / DI 방향성 period=27, threshold=18 |
9.6% | -42.3% | 0.53 | 0.23 | 2.2x | 38 | 26% |
| MACD fast=14, slow=52, signal=16 |
12.8% | -54.4% | 0.51 | 0.23 | 2.8x | 89 | 50% |
| Supertrend period=9, mult=3.4 |
7.7% | -47.1% | 0.39 | 0.16 | 1.9x | 47 | 50% |
| Parabolic SAR step=0.02, maxStep=0.3 |
2.5% | -59.3% | 0.25 | 0.04 | 1.2x | 188 | 51% |
| Buy and hold | 0.8% | -85.0% | 0.29 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average