Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Netcompany Group A/S backtest
10 trend-following strategies were compared on the full daily history of Netcompany Group A/S. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.0%, MDD -34.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.4%, drawdown -76.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -39.1%, Sharpe 0.56, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 7.0%, MDD -34.3%, exposure 54%).
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=40, slow=219 |
12.3% | -39.1% | 0.56 | 0.31 | 2.6x | 8 | 56% |
| EMA 크로스오버 fast=59, slow=203 |
11.4% | -39.1% | 0.53 | 0.29 | 2.4x | 7 | 56% |
| Donchian 채널 돌파 entryN=68, exitN=73 |
7.0% | -34.3% | 0.39 | 0.21 | 1.8x | 10 | 54% |
| Supertrend period=15, mult=3.2 |
4.7% | -61.0% | 0.30 | 0.08 | 1.5x | 49 | 56% |
| ROC 모멘텀 n=133, threshold=-0.04 |
3.8% | -60.1% | 0.27 | 0.06 | 1.4x | 67 | 62% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
3.2% | -22.5% | 0.27 | 0.14 | 1.3x | 22 | 29% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=3.3 |
1.6% | -31.7% | 0.18 | 0.05 | 1.1x | 24 | 26% |
| MACD fast=8, slow=31, signal=11 |
0.4% | -46.8% | 0.15 | 0.01 | 1.0x | 148 | 49% |
| Parabolic SAR step=0.03, maxStep=0.08 |
-0.2% | -44.1% | 0.13 | -0.00 | 1.0x | 158 | 50% |
| ADX / DI 방향성 period=23, threshold=17 |
-0.8% | -41.5% | 0.05 | -0.02 | 0.9x | 66 | 28% |
| Buy and hold | 5.4% | -76.5% | 0.33 | 0.07 | 1.5x | 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 40-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 40-day average falls below the 219-day average