Trend-Following Backtester · Guide · backtest 한국어

equity · US

National Presto Industries, Inc. backtest

10 trend-following strategies were compared on the full daily history of National Presto Industries, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 5.9%, drawdown -68.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -68.5%, Sharpe 0.37, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=3, threshold=-0.15
6.4%-68.5%0.370.0917.7x11100%
ADX / DI 방향성
period=35, threshold=36
0.5%-11.5%0.290.041.3x21%
SMA 크로스오버
fast=18, slow=405
3.3%-65.7%0.260.054.6x5754%
EMA 크로스오버
fast=46, slow=209
1.8%-76.7%0.190.022.3x7356%
Donchian 채널 돌파
entryN=18, exitN=75
1.6%-80.2%0.190.022.1x13179%
볼린저 밴드 돌파
n=17, k=3.2
0.5%-38.5%0.140.011.3x403%
Supertrend
period=9, mult=4.9
-1.8%-85.8%-0.00-0.020.4x21651%
MACD
fast=28, slow=78, signal=26
-3.5%-91.9%-0.10-0.040.2x36451%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=16, mult=4
-1.9%-78.4%-0.11-0.020.4x13620%
Parabolic SAR
step=0.005, maxStep=0.36
-3.9%-94.7%-0.12-0.040.2x37851%
Buy and hold5.9%-68.5%0.350.0914.4x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -68.5% (1992-03-18 → 2003-03-12), recovered after 6,071 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next