Trend-Following Backtester · Guide · backtest 한국어
equity · US
Novavax, Inc. backtest
10 trend-following strategies were compared on the full daily history of Novavax, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -65.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.8%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -97.0%, Sharpe 0.45, 46% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 9.8%, MDD -70.3%, exposure 8%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 1.8%p (CAGR 9.4%, MDD -65.8%, exposure 14%).
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=45, slow=94 |
6.7% | -97.0% | 0.45 | 0.07 | 7.4x | 94 | 46% |
| ADX / DI 방향성 period=39, threshold=24 |
9.8% | -70.3% | 0.41 | 0.14 | 17.5x | 24 | 8% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
9.4% | -65.8% | 0.40 | 0.14 | 15.9x | 78 | 14% |
| Donchian 채널 돌파 entryN=22, exitN=33 |
1.4% | -96.6% | 0.39 | 0.01 | 1.5x | 133 | 57% |
| ROC 모멘텀 n=149, threshold=0.11 |
2.0% | -96.8% | 0.36 | 0.02 | 1.9x | 204 | 40% |
| Supertrend period=5, mult=3.9 |
-2.8% | -98.8% | 0.34 | -0.03 | 0.4x | 125 | 54% |
| MACD fast=6, slow=31, signal=15 |
-3.1% | -97.1% | 0.32 | -0.03 | 0.4x | 585 | 52% |
| EMA 크로스오버 fast=31, slow=89 |
-1.5% | -97.0% | 0.31 | -0.02 | 0.6x | 78 | 43% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=3 |
4.4% | -79.7% | 0.30 | 0.06 | 3.8x | 92 | 15% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-5.8% | -98.5% | 0.26 | -0.06 | 0.2x | 477 | 47% |
| Buy and hold | -6.8% | -98.8% | 0.40 | -0.07 | 0.1x | 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 45-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 45-day average falls below the 94-day average