Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Fuel Gas Company backtest
10 trend-following strategies were compared on the full daily history of National Fuel Gas Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -37.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -57.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -37.7%, Sharpe 0.41, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 5.9%, MDD -37.7%, exposure 65%).
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=44, slow=240 |
5.9% | -37.7% | 0.41 | 0.16 | 20.8x | 62 | 65% |
| EMA 크로스오버 fast=49, slow=185 |
3.9% | -61.7% | 0.30 | 0.06 | 7.7x | 70 | 65% |
| ROC 모멘텀 n=159, threshold=-0.06 |
3.9% | -54.6% | 0.29 | 0.07 | 7.6x | 271 | 76% |
| Donchian 채널 돌파 entryN=18, exitN=79 |
3.8% | -54.9% | 0.29 | 0.07 | 7.3x | 133 | 84% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
0.7% | -21.9% | 0.14 | 0.03 | 1.5x | 72 | 7% |
| ADX / DI 방향성 period=33, threshold=31 |
0.1% | -21.3% | 0.04 | 0.00 | 1.0x | 20 | 2% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=4 |
0.0% | -46.2% | 0.04 | 0.00 | 1.0x | 76 | 9% |
| Supertrend period=15, mult=3.2 |
-0.9% | -62.5% | 0.03 | -0.01 | 0.6x | 351 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.3% | -95.7% | -0.25 | -0.06 | 0.1x | 469 | 54% |
| MACD fast=23, slow=32, signal=14 |
-6.5% | -97.9% | -0.32 | -0.07 | 0.0x | 725 | 50% |
| Buy and hold | 6.7% | -57.7% | 0.39 | 0.12 | 30.8x | 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 44-day average price crosses above the 240-day average
- Sell — Sell (to cash) when the 44-day average falls below the 240-day average