Trend-Following Backtester · Guide · backtest 한국어
equity · GB
NatWest Group Plc backtest
10 trend-following strategies were compared on the full daily history of NatWest Group Plc. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -51.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.1%, drawdown -98.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -51.7%, Sharpe 0.35, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.5%, MDD -77.3%, exposure 56%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 5.5%, MDD -51.7%, 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=47, slow=271 |
5.5% | -51.7% | 0.35 | 0.11 | 7.8x | 45 | 59% |
| SMA 크로스오버 fast=18, slow=80 |
5.5% | -77.3% | 0.34 | 0.07 | 7.8x | 135 | 56% |
| Donchian 채널 돌파 entryN=99, exitN=52 |
3.7% | -63.9% | 0.28 | 0.06 | 4.0x | 69 | 42% |
| Supertrend period=27, mult=4.8 |
1.6% | -80.0% | 0.18 | 0.02 | 1.8x | 177 | 53% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
0.7% | -84.2% | 0.14 | 0.01 | 1.3x | 237 | 45% |
| ROC 모멘텀 n=73, threshold=-0.02 |
-0.4% | -91.6% | 0.10 | -0.00 | 0.8x | 449 | 60% |
| MACD fast=24, slow=51, signal=21 |
-2.7% | -97.0% | 0.07 | -0.03 | 0.4x | 354 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=16, mult=2.5 |
-0.8% | -79.2% | 0.04 | -0.01 | 0.7x | 200 | 31% |
| ADX / DI 방향성 period=46, threshold=28 |
-0.0% | -14.6% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-5.8% | -96.6% | -0.10 | -0.06 | 0.1x | 970 | 52% |
| Buy and hold | 1.1% | -98.5% | 0.24 | 0.01 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 271-day EMA
- Sell — Sell when the 47-day EMA falls below the 271-day EMA