Trend-Following Backtester · Guide · backtest 한국어
equity · GB
NCC Group plc backtest
10 trend-following strategies were compared on the full daily history of NCC Group plc. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.8%, MDD -51.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.4%, drawdown -76.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -8.0%, Sharpe 0.56, 2% exposure.
CAGR reference leader: Supertrend — CAGR 9.8%, MDD -51.9%, exposure 60%.
Return/drawdown alternative: Supertrend — CAGR is 4.8%p lower than buy and hold, while drawdown improves by 68.5%p (CAGR 9.8%, MDD -51.9%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.5 |
2.6% | -8.0% | 0.56 | 0.32 | 1.7x | 12 | 2% |
| Supertrend period=27, mult=3.5 |
9.8% | -51.9% | 0.49 | 0.19 | 7.8x | 83 | 60% |
| Donchian 채널 돌파 entryN=7, exitN=66 |
7.8% | -73.9% | 0.40 | 0.11 | 5.2x | 59 | 87% |
| SMA 크로스오버 fast=49, slow=145 |
6.0% | -62.6% | 0.36 | 0.10 | 3.6x | 43 | 60% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=4 |
1.3% | -7.0% | 0.32 | 0.19 | 1.3x | 8 | 2% |
| ADX / DI 방향성 period=38, threshold=23 |
2.6% | -26.1% | 0.28 | 0.10 | 1.8x | 30 | 14% |
| EMA 크로스오버 fast=52, slow=219 |
3.3% | -64.6% | 0.26 | 0.05 | 2.0x | 31 | 63% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.7% | -76.6% | 0.19 | 0.02 | 1.4x | 367 | 56% |
| ROC 모멘텀 n=138, threshold=-0.04 |
0.9% | -68.5% | 0.17 | 0.01 | 1.2x | 169 | 68% |
| MACD fast=13, slow=35, signal=18 |
-2.2% | -90.5% | 0.03 | -0.02 | 0.6x | 297 | 53% |
| Buy and hold | 7.4% | -76.5% | 0.38 | 0.10 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average