Trend-Following Backtester · Guide · backtest 한국어
equity · US
nVent Electric plc backtest
10 trend-following strategies were compared on the full daily history of nVent Electric plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.9%, MDD -28.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.1%, drawdown -57.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.9%, MDD -28.9%, Sharpe 0.86, 59% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 28.6%p (CAGR 20.9%, MDD -28.9%, exposure 59%).
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 n=200, threshold=0.05 |
20.9% | -28.9% | 0.86 | 0.72 | 4.8x | 27 | 59% |
| Donchian 채널 돌파 entryN=101, exitN=74 |
16.4% | -27.5% | 0.73 | 0.60 | 3.5x | 11 | 51% |
| EMA 크로스오버 fast=6, slow=199 |
18.0% | -42.2% | 0.73 | 0.43 | 3.9x | 21 | 67% |
| Supertrend period=29, mult=3.7 |
16.5% | -33.7% | 0.69 | 0.49 | 3.5x | 40 | 67% |
| SMA 크로스오버 fast=13, slow=92 |
16.3% | -42.6% | 0.69 | 0.38 | 3.5x | 27 | 65% |
| 볼린저 밴드 돌파 n=72, k=1.6 |
12.9% | -30.1% | 0.66 | 0.43 | 2.7x | 30 | 49% |
| Parabolic SAR step=0.02, maxStep=0.12 |
11.6% | -35.1% | 0.54 | 0.33 | 2.5x | 168 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=3.5 |
8.4% | -28.8% | 0.53 | 0.29 | 1.9x | 24 | 34% |
| MACD fast=18, slow=22, signal=16 |
10.6% | -44.1% | 0.52 | 0.24 | 2.3x | 110 | 48% |
| ADX / DI 방향성 period=14, threshold=16 |
2.4% | -49.7% | 0.22 | 0.05 | 1.2x | 138 | 47% |
| Buy and hold | 26.1% | -57.5% | 0.79 | 0.45 | 6.8x | 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 200-day return is greater than 5%
- Sell — Sell when the 200-day return drops to 5% or below