Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nova Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nova Ltd.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.5%, MDD -53.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.5%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.1%, MDD -56.4%, Sharpe 0.73, 61% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.7%, MDD -54.6%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 14.5%, MDD -53.3%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=68, slow=202 |
22.1% | -56.4% | 0.73 | 0.39 | 192.6x | 19 | 61% |
| SMA 크로스오버 fast=50, slow=196 |
22.7% | -54.6% | 0.72 | 0.42 | 216.9x | 25 | 57% |
| Donchian 채널 돌파 entryN=69, exitN=51 |
18.2% | -73.7% | 0.65 | 0.25 | 81.9x | 40 | 52% |
| ROC 모멘텀 n=140, threshold=0.23 |
14.5% | -53.3% | 0.59 | 0.27 | 35.5x | 156 | 35% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=16, mult=1 |
10.6% | -74.3% | 0.46 | 0.14 | 14.3x | 182 | 49% |
| Supertrend period=29, mult=3.1 |
10.3% | -94.9% | 0.45 | 0.11 | 13.1x | 170 | 50% |
| ADX / DI 방향성 period=38, threshold=19 |
7.0% | -54.9% | 0.43 | 0.13 | 6.0x | 38 | 13% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
8.5% | -63.3% | 0.41 | 0.13 | 8.5x | 114 | 38% |
| Parabolic SAR step=0.02, maxStep=0.04 |
5.3% | -86.7% | 0.33 | 0.06 | 3.9x | 302 | 54% |
| MACD fast=19, slow=24, signal=12 |
-4.1% | -98.0% | 0.12 | -0.04 | 0.3x | 400 | 52% |
| Buy and hold | 11.5% | -98.2% | 0.48 | 0.12 | 17.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 68-day EMA crosses above the 202-day EMA
- Sell — Sell when the 68-day EMA falls below the 202-day EMA