Trend-Following Backtester · Guide · backtest 한국어
equity · IL
NICE Ltd. backtest
10 trend-following strategies were compared on the full daily history of NICE Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -75.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.7%, MDD -76.0%, Sharpe 0.74, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.11 |
8.7% | -76.0% | 0.74 | 0.11 | 7.4x | 101 | 99% |
| SMA 크로스오버 fast=42, slow=150 |
8.7% | -70.0% | 0.64 | 0.12 | 7.4x | 28 | 63% |
| EMA 크로스오버 fast=45, slow=94 |
4.9% | -78.2% | 0.63 | 0.06 | 3.2x | 38 | 65% |
| Donchian 채널 돌파 entryN=76, exitN=65 |
1.9% | -80.8% | 0.58 | 0.02 | 1.6x | 32 | 60% |
| Supertrend period=3, mult=4.9 |
-13.0% | -99.2% | 0.52 | -0.13 | 0.0x | 109 | 61% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-19.5% | -99.7% | 0.19 | -0.20 | 0.0x | 157 | 47% |
| ADX / DI 방향성 period=56, threshold=19 |
0.5% | -55.4% | 0.12 | 0.01 | 1.1x | 4 | 14% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=9, mult=3.1 |
-32.9% | -100.0% | 0.02 | -0.33 | 0.0x | 106 | 35% |
| MACD fast=16, slow=49, signal=19 |
-47.4% | -100.0% | -0.06 | -0.47 | 0.0x | 279 | 52% |
| 볼린저 밴드 돌파 n=76, k=1.8 |
-45.6% | -100.0% | -0.08 | -0.46 | 0.0x | 114 | 38% |
| Buy and hold | 10.8% | -75.2% | 0.75 | 0.14 | 11.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below