Trend-Following Backtester · Guide · backtest 한국어
equity · GR
National Bank of Greece S.A. backtest
10 trend-following strategies were compared on the full daily history of National Bank of Greece S.A.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -15.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -11.9%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -76.2%, Sharpe 0.40, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.0%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 1.7%, MDD -15.5%, exposure 3%).
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=26, slow=240 |
9.1% | -76.2% | 0.40 | 0.12 | 34.3x | 49 | 50% |
| SMA 크로스오버 fast=22, slow=208 |
7.0% | -73.0% | 0.36 | 0.10 | 15.4x | 65 | 53% |
| ADX / DI 방향성 period=25, threshold=39 |
1.7% | -15.5% | 0.30 | 0.11 | 2.0x | 24 | 3% |
| Donchian 채널 돌파 entryN=66, exitN=72 |
-5.0% | -99.8% | 0.23 | -0.05 | 0.1x | 71 | 55% |
| ROC 모멘텀 n=22, threshold=-0.1 |
-13.0% | -100.0% | 0.16 | -0.13 | 0.0x | 515 | 83% |
| Supertrend period=4, mult=4.7 |
-14.3% | -100.0% | 0.07 | -0.14 | 0.0x | 209 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-18.5% | -100.0% | -0.05 | -0.18 | 0.0x | 319 | 48% |
| MACD fast=18, slow=40, signal=17 |
-26.1% | -100.0% | -0.12 | -0.26 | 0.0x | 509 | 52% |
| 볼린저 밴드 돌파 n=77, k=2.4 |
-17.1% | -100.0% | -0.12 | -0.17 | 0.0x | 129 | 31% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=1.5 |
-20.3% | -100.0% | -0.12 | -0.20 | 0.0x | 269 | 44% |
| Buy and hold | -11.9% | -100.0% | 0.21 | -0.12 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 240-day EMA
- Sell — Sell when the 26-day EMA falls below the 240-day EMA