Trend-Following Backtester · Guide · backtest 한국어
equity · US
NPK International Inc. backtest
10 trend-following strategies were compared on the full daily history of NPK International Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -42.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.3%, drawdown -97.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -82.8%, Sharpe 0.43, 78% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 14.4%p (CAGR 5.6%, MDD -42.2%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=74 |
9.5% | -82.8% | 0.43 | 0.11 | 25.9x | 106 | 78% |
| Supertrend period=10, mult=4.9 |
8.8% | -82.1% | 0.41 | 0.11 | 21.0x | 102 | 59% |
| ADX / DI 방향성 period=47, threshold=22 |
5.6% | -42.2% | 0.41 | 0.13 | 7.0x | 28 | 10% |
| MACD fast=41, slow=59, signal=24 |
7.0% | -79.3% | 0.37 | 0.09 | 11.3x | 256 | 50% |
| SMA 크로스오버 fast=27, slow=150 |
5.0% | -62.5% | 0.32 | 0.08 | 5.8x | 71 | 56% |
| EMA 크로스오버 fast=22, slow=103 |
4.9% | -70.5% | 0.31 | 0.07 | 5.5x | 108 | 56% |
| 볼린저 밴드 돌파 n=32, k=2.9 |
2.0% | -63.8% | 0.20 | 0.03 | 2.0x | 90 | 14% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.1% | -96.7% | 0.17 | -0.01 | 0.7x | 316 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=0.9 |
-0.5% | -94.8% | 0.15 | -0.00 | 0.8x | 356 | 45% |
| ROC 모멘텀 n=72, threshold=-0.04 |
-2.0% | -96.2% | 0.14 | -0.02 | 0.5x | 420 | 63% |
| Buy and hold | 6.3% | -97.2% | 0.40 | 0.07 | 9.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 74 days