Trend-Following Backtester · Guide · backtest 한국어
equity · US
Novanta Inc. backtest
10 trend-following strategies were compared on the full daily history of Novanta Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.7%, MDD -58.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.4%, drawdown -98.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.5%, MDD -79.7%, Sharpe 0.59, 71% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 8.7%, MDD -58.5%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=43 |
17.5% | -79.7% | 0.59 | 0.22 | 83.1x | 67 | 71% |
| EMA 크로스오버 fast=36, slow=93 |
15.2% | -59.3% | 0.58 | 0.26 | 48.5x | 57 | 59% |
| SMA 크로스오버 fast=16, slow=62 |
16.2% | -73.4% | 0.58 | 0.22 | 61.2x | 119 | 58% |
| ROC 모멘텀 n=152, threshold=-0.09 |
10.4% | -85.4% | 0.45 | 0.12 | 15.0x | 165 | 70% |
| Supertrend period=25, mult=2.5 |
9.5% | -75.3% | 0.43 | 0.13 | 11.9x | 226 | 53% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
8.7% | -58.5% | 0.42 | 0.15 | 9.8x | 264 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.1% | -86.0% | 0.39 | 0.09 | 8.6x | 220 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=26, mult=3.8 |
4.4% | -78.6% | 0.31 | 0.06 | 3.3x | 60 | 16% |
| ADX / DI 방향성 period=23, threshold=41 |
1.4% | -21.0% | 0.29 | 0.07 | 1.5x | 8 | 2% |
| MACD fast=17, slow=48, signal=13 |
1.0% | -95.8% | 0.21 | 0.01 | 1.3x | 356 | 52% |
| Buy and hold | 8.4% | -98.9% | 0.42 | 0.08 | 9.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 43 days