Trend-Following Backtester · Guide · backtest 한국어
equity · US
NetScout Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of NetScout Systems, Inc.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 6.1%, MDD -70.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.1%, drawdown -92.9%).
Sharpe leader (same as main): MACD — CAGR 6.1%, MDD -70.4%, Sharpe 0.35, 49% exposure.
Return/drawdown alternative: MACD — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 6.1%, MDD -70.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=27, slow=41, signal=53 |
6.1% | -70.4% | 0.35 | 0.09 | 4.9x | 168 | 49% |
| Donchian 채널 돌파 entryN=39, exitN=29 |
3.2% | -65.5% | 0.26 | 0.05 | 2.3x | 89 | 47% |
| SMA 크로스오버 fast=34, slow=64 |
1.7% | -75.7% | 0.24 | 0.02 | 1.6x | 101 | 55% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=2.7 |
0.9% | -42.3% | 0.14 | 0.02 | 1.3x | 58 | 8% |
| EMA 크로스오버 fast=19, slow=56 |
-1.7% | -79.8% | 0.14 | -0.02 | 0.6x | 113 | 55% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
0.5% | -44.5% | 0.10 | 0.01 | 1.2x | 32 | 5% |
| Supertrend period=24, mult=3 |
-4.0% | -84.5% | 0.10 | -0.05 | 0.3x | 166 | 55% |
| ROC 모멘텀 n=60, threshold=0.02 |
-3.2% | -86.3% | 0.09 | -0.04 | 0.4x | 343 | 51% |
| ADX / DI 방향성 period=10, threshold=39 |
-0.3% | -58.7% | 0.06 | -0.01 | 0.9x | 108 | 9% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-6.5% | -96.2% | 0.04 | -0.07 | 0.2x | 476 | 54% |
| Buy and hold | 4.1% | -92.9% | 0.36 | 0.04 | 2.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (27/41) crosses above its 53-day signal line
- Sell — Sell when the MACD line crosses back below the signal line