Trend-Following Backtester · Guide · backtest 한국어
equity · US
NextNav Inc. backtest
10 trend-following strategies were compared on the full daily history of NextNav Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -33.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -86.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -47.8%, Sharpe 0.72, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 8.5%, MDD -33.7%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=196 |
28.0% | -47.8% | 0.72 | 0.59 | 4.1x | 5 | 53% |
| EMA 크로스오버 fast=35, slow=180 |
21.8% | -47.8% | 0.63 | 0.46 | 3.1x | 6 | 56% |
| Supertrend period=29, mult=4.9 |
17.4% | -41.2% | 0.58 | 0.42 | 2.5x | 14 | 39% |
| MACD fast=13, slow=57, signal=17 |
16.4% | -53.8% | 0.56 | 0.30 | 2.4x | 60 | 50% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
12.4% | -50.4% | 0.52 | 0.25 | 2.0x | 16 | 18% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=4 |
8.5% | -33.7% | 0.46 | 0.25 | 1.6x | 8 | 9% |
| Donchian 채널 돌파 entryN=59, exitN=49 |
10.5% | -56.3% | 0.45 | 0.19 | 1.8x | 10 | 47% |
| ROC 모멘텀 n=69, threshold=0.08 |
10.4% | -43.3% | 0.45 | 0.24 | 1.8x | 60 | 36% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.3% | -54.4% | 0.17 | -0.06 | 0.8x | 89 | 50% |
| ADX / DI 방향성 period=13, threshold=29 |
-2.8% | -50.6% | 0.05 | -0.06 | 0.8x | 38 | 19% |
| Buy and hold | 5.2% | -86.5% | 0.42 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 57-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 57-day average falls below the 196-day average