Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northwest Natural Holding Company backtest
10 trend-following strategies were compared on the full daily history of Northwest Natural Holding Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -39.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -54.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -39.2%, Sharpe 0.30, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 3.9%, MDD -39.2%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=251, slow=304 |
3.9% | -39.2% | 0.30 | 0.10 | 7.9x | 63 | 64% |
| EMA 크로스오버 fast=177, slow=269 |
3.1% | -40.7% | 0.26 | 0.08 | 5.2x | 27 | 66% |
| ADX / DI 방향성 period=37, threshold=35 |
0.2% | -9.4% | 0.14 | 0.02 | 1.1x | 6 | 1% |
| Donchian 채널 돌파 entryN=118, exitN=75 |
-1.4% | -70.1% | -0.02 | -0.02 | 0.5x | 74 | 46% |
| Supertrend period=11, mult=5 |
-2.7% | -90.3% | -0.08 | -0.03 | 0.2x | 140 | 60% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
-0.2% | -17.8% | -0.11 | -0.01 | 0.9x | 10 | 1% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-4.8% | -96.7% | -0.16 | -0.05 | 0.1x | 477 | 73% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-6.7% | -98.0% | -0.33 | -0.07 | 0.0x | 696 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=4 |
-2.0% | -69.1% | -0.34 | -0.03 | 0.3x | 52 | 6% |
| MACD fast=19, slow=59, signal=16 |
-7.3% | -98.8% | -0.39 | -0.07 | 0.0x | 611 | 51% |
| Buy and hold | 3.8% | -54.6% | 0.27 | 0.07 | 7.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 251-day average price crosses above the 304-day average
- Sell — Sell (to cash) when the 251-day average falls below the 304-day average