Trend-Following Backtester · Guide · backtest 한국어
equity · US
NWPX Infrastructure, Inc. backtest
10 trend-following strategies were compared on the full daily history of NWPX Infrastructure, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -70.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -76.2%, Sharpe 0.43, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 8.2%, MDD -70.0%, exposure 58%).
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=15, exitN=51 |
9.5% | -76.2% | 0.43 | 0.12 | 16.1x | 85 | 77% |
| SMA 크로스오버 fast=37, slow=73 |
8.2% | -70.0% | 0.41 | 0.12 | 11.1x | 97 | 58% |
| EMA 크로스오버 fast=34, slow=62 |
4.4% | -68.9% | 0.29 | 0.06 | 3.8x | 91 | 59% |
| Supertrend period=9, mult=5 |
3.3% | -87.8% | 0.26 | 0.04 | 2.7x | 79 | 59% |
| ADX / DI 방향성 period=48, threshold=26 |
1.8% | -42.1% | 0.24 | 0.04 | 1.7x | 11 | 4% |
| ROC 모멘텀 n=54, threshold=-0.08 |
-0.8% | -95.5% | 0.16 | -0.01 | 0.8x | 377 | 74% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=3.8 |
0.7% | -19.9% | 0.13 | 0.03 | 1.2x | 16 | 2% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
-0.7% | -57.2% | 0.01 | -0.01 | 0.8x | 46 | 9% |
| MACD fast=18, slow=40, signal=19 |
-5.7% | -93.9% | -0.03 | -0.06 | 0.2x | 364 | 51% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-9.4% | -98.0% | -0.15 | -0.10 | 0.0x | 983 | 50% |
| Buy and hold | 8.5% | -87.7% | 0.41 | 0.10 | 12.2x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 51 days