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.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.4%, MDD -33.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.6%, drawdown -86.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.4%, MDD -47.8%, Sharpe 0.76, 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 8.4%, MDD -33.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=196 |
31.4% | -47.8% | 0.76 | 0.66 | 4.9x | 6 | 53% |
| EMA 크로스오버 fast=35, slow=180 |
21.4% | -47.8% | 0.63 | 0.45 | 3.1x | 6 | 55% |
| MACD fast=13, slow=57, signal=17 |
17.2% | -53.8% | 0.57 | 0.32 | 2.5x | 61 | 50% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
12.2% | -50.4% | 0.51 | 0.24 | 2.0x | 16 | 17% |
| Supertrend period=29, mult=4.9 |
13.0% | -42.8% | 0.50 | 0.30 | 2.0x | 15 | 39% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=4 |
8.4% | -33.7% | 0.46 | 0.25 | 1.6x | 8 | 8% |
| Donchian 채널 돌파 entryN=59, exitN=49 |
10.4% | -56.3% | 0.45 | 0.18 | 1.8x | 10 | 47% |
| ROC 모멘텀 n=69, threshold=0.08 |
10.3% | -43.3% | 0.44 | 0.24 | 1.8x | 60 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.4% | -54.4% | 0.27 | 0.03 | 1.1x | 90 | 50% |
| ADX / DI 방향성 period=13, threshold=29 |
-2.1% | -50.6% | 0.08 | -0.04 | 0.9x | 40 | 19% |
| Buy and hold | 8.6% | -86.5% | 0.47 | 0.10 | 1.6x | 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