Trend-Following Backtester · Guide · backtest 한국어
equity · US
NewJersey Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of NewJersey Resources Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -51.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -51.4%, Sharpe 0.43, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.11 |
7.3% | -51.4% | 0.43 | 0.14 | 26.5x | 23 | 100% |
| Donchian 채널 돌파 entryN=6, exitN=92 |
4.3% | -47.9% | 0.31 | 0.09 | 7.0x | 121 | 91% |
| SMA 크로스오버 fast=29, slow=219 |
3.3% | -45.6% | 0.27 | 0.07 | 4.5x | 77 | 68% |
| EMA 크로스오버 fast=51, slow=195 |
2.8% | -45.8% | 0.24 | 0.06 | 3.5x | 71 | 70% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=3.8 |
0.7% | -15.4% | 0.19 | 0.04 | 1.4x | 8 | 1% |
| ADX / DI 방향성 period=38, threshold=45 |
0.2% | -4.0% | 0.18 | 0.05 | 1.1x | 2 | 0% |
| Supertrend period=10, mult=5 |
-0.2% | -65.1% | 0.06 | -0.00 | 0.9x | 141 | 57% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
-0.2% | -30.0% | -0.01 | -0.01 | 0.9x | 26 | 4% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.8% | -85.9% | -0.03 | -0.02 | 0.4x | 393 | 56% |
| MACD fast=14, slow=44, signal=22 |
-6.3% | -96.7% | -0.33 | -0.07 | 0.0x | 599 | 51% |
| Buy and hold | 8.2% | -51.9% | 0.46 | 0.16 | 38.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -11%
- Sell — Sell when the 5-day return drops to -11% or below