Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nelnet, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nelnet, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.4%, MDD -37.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -90.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -37.8%, Sharpe 0.48, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 8.4%, MDD -37.8%, exposure 70%).
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=65, slow=260 |
8.4% | -37.8% | 0.48 | 0.22 | 6.3x | 17 | 70% |
| Donchian 채널 돌파 entryN=58, exitN=84 |
8.0% | -45.5% | 0.43 | 0.18 | 5.8x | 29 | 69% |
| ADX / DI 방향성 period=23, threshold=37 |
1.3% | -8.7% | 0.43 | 0.15 | 1.3x | 6 | 1% |
| SMA 크로스오버 fast=52, slow=117 |
6.2% | -64.6% | 0.36 | 0.10 | 3.9x | 46 | 61% |
| ROC 모멘텀 n=120, threshold=-0.02 |
5.8% | -58.5% | 0.36 | 0.10 | 3.6x | 139 | 65% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
1.5% | -31.1% | 0.26 | 0.05 | 1.4x | 36 | 4% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.3 |
1.5% | -27.1% | 0.22 | 0.05 | 1.4x | 60 | 8% |
| Supertrend period=9, mult=2.5 |
1.3% | -71.7% | 0.18 | 0.02 | 1.3x | 193 | 56% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.3% | -78.8% | 0.12 | -0.00 | 0.9x | 199 | 56% |
| MACD fast=8, slow=54, signal=17 |
-3.7% | -75.7% | -0.02 | -0.05 | 0.4x | 367 | 50% |
| Buy and hold | 8.4% | -90.2% | 0.41 | 0.09 | 6.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 260-day EMA
- Sell — Sell when the 65-day EMA falls below the 260-day EMA