Trend-Following Backtester · Guide · backtest 한국어
equity · US
NetApp, Inc. backtest
10 trend-following strategies were compared on the full daily history of NetApp, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.2%, MDD -57.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.4%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -67.5%, Sharpe 0.68, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 18.2%, MDD -57.7%, exposure 56%).
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=32, slow=194 |
21.8% | -67.5% | 0.68 | 0.32 | 424.3x | 43 | 58% |
| EMA 크로스오버 fast=45, slow=178 |
20.6% | -66.8% | 0.68 | 0.31 | 314.6x | 35 | 57% |
| Supertrend period=16, mult=5 |
18.2% | -57.7% | 0.64 | 0.32 | 170.8x | 91 | 56% |
| Donchian 채널 돌파 entryN=118, exitN=41 |
15.7% | -58.1% | 0.60 | 0.27 | 87.8x | 53 | 38% |
| ROC 모멘텀 n=111, threshold=0.01 |
15.2% | -82.9% | 0.55 | 0.18 | 75.9x | 229 | 57% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.0% | -70.8% | 0.49 | 0.17 | 32.5x | 417 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.1 |
10.0% | -54.4% | 0.45 | 0.18 | 18.7x | 259 | 49% |
| 볼린저 밴드 돌파 n=44, k=1.8 |
8.3% | -51.6% | 0.41 | 0.16 | 11.7x | 169 | 40% |
| ADX / DI 방향성 period=13, threshold=16 |
6.0% | -69.4% | 0.34 | 0.09 | 6.1x | 571 | 48% |
| MACD fast=10, slow=26, signal=13 |
3.6% | -88.4% | 0.29 | 0.04 | 3.0x | 553 | 50% |
| Buy and hold | 17.4% | -96.2% | 0.56 | 0.18 | 138.7x | 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 32-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 32-day average falls below the 194-day average