Trend-Following Backtester · Guide · backtest 한국어
equity · CA
NFI Group Inc. backtest
10 trend-following strategies were compared on the full daily history of NFI Group Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.6%, MDD -29.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.1%, drawdown -88.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.6%, MDD -29.6%, Sharpe 0.87, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 18.6%, MDD -29.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=180 |
18.6% | -29.6% | 0.87 | 0.63 | 11.9x | 25 | 59% |
| 볼린저 밴드 돌파 n=47, k=2 |
16.6% | -41.5% | 0.86 | 0.40 | 9.3x | 57 | 40% |
| Donchian 채널 돌파 entryN=70, exitN=23 |
15.1% | -37.9% | 0.81 | 0.40 | 7.7x | 31 | 42% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=15, mult=2.4 |
15.0% | -43.2% | 0.79 | 0.35 | 7.6x | 47 | 44% |
| SMA 크로스오버 fast=9, slow=92 |
16.9% | -45.9% | 0.78 | 0.37 | 9.7x | 51 | 57% |
| Supertrend period=7, mult=5 |
17.3% | -59.4% | 0.73 | 0.29 | 10.1x | 37 | 62% |
| Parabolic SAR step=0.005, maxStep=0.36 |
16.2% | -51.1% | 0.70 | 0.32 | 8.9x | 105 | 54% |
| ADX / DI 방향성 period=20, threshold=22 |
9.9% | -28.7% | 0.62 | 0.34 | 3.9x | 85 | 27% |
| ROC 모멘텀 n=78, threshold=0.04 |
10.2% | -53.6% | 0.55 | 0.19 | 4.1x | 115 | 50% |
| MACD fast=18, slow=70, signal=13 |
10.9% | -69.4% | 0.52 | 0.16 | 4.5x | 149 | 51% |
| Buy and hold | 10.1% | -88.3% | 0.44 | 0.11 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 180-day EMA
- Sell — Sell when the 7-day EMA falls below the 180-day EMA