Trend-Following Backtester · Guide · backtest 한국어
equity · US
N-able, Inc. backtest
10 trend-following strategies were compared on the full daily history of N-able, Inc.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -1.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -23.9%, drawdown -81.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -1.8%, Sharpe 0.41, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.4%, MDD -16.7%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 79.5%p (CAGR 1.1%, MDD -1.8%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=24 |
1.1% | -1.8% | 0.41 | 0.62 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=3.4 |
2.9% | -12.5% | 0.33 | 0.23 | 1.2x | 4 | 11% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
2.1% | -10.2% | 0.32 | 0.20 | 1.1x | 4 | 6% |
| Donchian 채널 돌파 entryN=92, exitN=36 |
3.4% | -16.7% | 0.31 | 0.20 | 1.2x | 4 | 17% |
| SMA 크로스오버 fast=55, slow=142 |
1.1% | -37.3% | 0.15 | 0.03 | 1.1x | 8 | 34% |
| EMA 크로스오버 fast=25, slow=129 |
-1.5% | -24.3% | -0.02 | -0.06 | 0.9x | 8 | 25% |
| ROC 모멘텀 n=139, threshold=0.1 |
-2.3% | -21.5% | -0.10 | -0.11 | 0.9x | 32 | 19% |
| Supertrend period=27, mult=5 |
-17.6% | -69.0% | -0.42 | -0.26 | 0.4x | 14 | 41% |
| MACD fast=18, slow=43, signal=22 |
-27.6% | -82.6% | -0.69 | -0.33 | 0.2x | 60 | 48% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-33.2% | -88.3% | -1.03 | -0.38 | 0.1x | 113 | 47% |
| Buy and hold | -23.9% | -81.4% | -0.28 | -0.29 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)