Trend-Following Backtester · Guide · backtest 한국어
equity · US
Norfolk Southern Corporation backtest
10 trend-following strategies were compared on the full daily history of Norfolk Southern Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -70.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -70.4%, Sharpe 0.49, 99% 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 99% n=9, threshold=-0.12 |
10.2% | -70.4% | 0.49 | 0.15 | 73.5x | 85 | 99% |
| Donchian 채널 돌파 entryN=12, exitN=79 |
5.5% | -63.9% | 0.34 | 0.09 | 10.5x | 123 | 87% |
| Supertrend period=17, mult=4 |
4.8% | -41.3% | 0.33 | 0.12 | 7.8x | 187 | 59% |
| EMA 크로스오버 fast=87, slow=171 |
4.6% | -55.4% | 0.31 | 0.08 | 7.4x | 53 | 70% |
| SMA 크로스오버 fast=33, slow=60 |
3.7% | -46.7% | 0.28 | 0.08 | 5.0x | 181 | 62% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
0.9% | -35.8% | 0.14 | 0.02 | 1.5x | 58 | 13% |
| MACD fast=27, slow=68, signal=23 |
0.7% | -71.1% | 0.13 | 0.01 | 1.4x | 367 | 51% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-0.0% | -51.2% | 0.10 | -0.00 | 1.0x | 391 | 57% |
| ADX / DI 방향성 period=47, threshold=23 |
-0.2% | -25.6% | -0.01 | -0.01 | 0.9x | 24 | 3% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=4 |
-1.2% | -61.6% | -0.05 | -0.02 | 0.6x | 107 | 22% |
| Buy and hold | 10.1% | -70.3% | 0.47 | 0.14 | 70.1x | 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 9-day return is greater than -12%
- Sell — Sell when the 9-day return drops to -12% or below