Trend-Following Backtester · Guide · backtest 한국어
equity · US
NVR, Inc. backtest
10 trend-following strategies were compared on the full daily history of NVR, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -69.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -99.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -86.4%, Sharpe 0.50, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 11.3%, MDD -69.1%, exposure 48%).
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=17, slow=33 |
12.3% | -86.4% | 0.50 | 0.14 | 116.2x | 214 | 60% |
| 볼린저 밴드 돌파 n=71, k=1.4 |
11.3% | -69.1% | 0.50 | 0.16 | 79.6x | 180 | 48% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=1.9 |
10.7% | -72.3% | 0.50 | 0.15 | 64.2x | 200 | 45% |
| Supertrend period=17, mult=4.9 |
9.4% | -91.1% | 0.46 | 0.10 | 40.6x | 109 | 58% |
| SMA 크로스오버 fast=11, slow=93 |
8.5% | -91.8% | 0.43 | 0.09 | 28.2x | 143 | 61% |
| ADX / DI 방향성 period=22, threshold=24 |
7.9% | -66.0% | 0.41 | 0.12 | 23.0x | 150 | 21% |
| Donchian 채널 돌파 entryN=88, exitN=47 |
6.7% | -89.4% | 0.39 | 0.07 | 14.3x | 86 | 53% |
| ROC 모멘텀 n=81, threshold=0.04 |
4.2% | -90.3% | 0.29 | 0.05 | 5.3x | 418 | 53% |
| Parabolic SAR step=0.01, maxStep=0.38 |
1.8% | -87.5% | 0.27 | 0.02 | 2.1x | 506 | 53% |
| MACD fast=17, slow=54, signal=19 |
0.9% | -94.3% | 0.24 | 0.01 | 1.5x | 416 | 52% |
| Buy and hold | 13.8% | -99.5% | 0.21 | 0.14 | 201.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 33-day EMA
- Sell — Sell when the 17-day EMA falls below the 33-day EMA