Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Neuberger Private Equity Partners Limited USD Class A backtest
10 trend-following strategies were compared on the full daily history of Neuberger Private Equity Partners Limited USD Class A. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -59.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.3%, MDD -6.3%, Sharpe 0.90, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.5%, MDD -39.3%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=15, mult=2.4 |
4.3% | -6.3% | 0.90 | 0.68 | 2.1x | 22 | 6% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
3.1% | -9.1% | 0.65 | 0.34 | 1.7x | 18 | 9% |
| Supertrend period=34, mult=4.5 |
6.4% | -47.9% | 0.49 | 0.13 | 2.9x | 51 | 60% |
| ROC 모멘텀 Hold-like · Exposure 96% n=30, threshold=-0.12 |
7.5% | -39.3% | 0.48 | 0.19 | 3.4x | 37 | 96% |
| EMA 크로스오버 fast=31, slow=124 |
4.4% | -51.0% | 0.37 | 0.09 | 2.1x | 29 | 61% |
| SMA 크로스오버 fast=33, slow=127 |
4.0% | -42.6% | 0.34 | 0.09 | 2.0x | 37 | 61% |
| Donchian 채널 돌파 entryN=11, exitN=33 |
4.2% | -57.5% | 0.33 | 0.07 | 2.0x | 81 | 76% |
| ADX / DI 방향성 period=17, threshold=25 |
0.7% | -26.0% | 0.13 | 0.03 | 1.1x | 80 | 17% |
| MACD fast=16, slow=32, signal=18 |
0.4% | -59.0% | 0.09 | 0.01 | 1.1x | 206 | 50% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-0.8% | -64.9% | 0.01 | -0.01 | 0.9x | 345 | 53% |
| Buy and hold | 7.9% | -59.8% | 0.46 | 0.13 | 3.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 8-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average