Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NCC Limited backtest
10 trend-following strategies were compared on the full daily history of NCC Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.7%, MDD -56.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 18.2%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.2%, MDD -63.2%, Sharpe 0.89, 53% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 30.2%, MDD -59.2%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 29.7%, MDD -56.0%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=8, slow=97 |
30.2% | -63.2% | 0.89 | 0.48 | 567.9x | 78 | 53% |
| EMA 크로스오버 fast=19, slow=73 |
30.2% | -59.2% | 0.89 | 0.51 | 574.2x | 62 | 53% |
| ROC 모멘텀 n=104, threshold=0.13 |
24.5% | -75.7% | 0.79 | 0.32 | 193.7x | 164 | 43% |
| 볼린저 밴드 돌파 n=63, k=1.5 |
22.7% | -61.2% | 0.78 | 0.37 | 138.1x | 80 | 40% |
| Donchian 채널 돌파 entryN=80, exitN=76 |
29.7% | -56.0% | 0.74 | 0.53 | 519.8x | 24 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.4 |
19.5% | -58.9% | 0.73 | 0.33 | 72.0x | 80 | 34% |
| Supertrend period=11, mult=5 |
25.6% | -74.7% | 0.67 | 0.34 | 242.6x | 54 | 58% |
| ADX / DI 방향성 period=32, threshold=19 |
15.2% | -40.8% | 0.66 | 0.37 | 30.3x | 68 | 23% |
| MACD fast=20, slow=49, signal=18 |
18.8% | -68.1% | 0.56 | 0.28 | 63.2x | 227 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
8.9% | -83.4% | 0.37 | 0.11 | 7.7x | 393 | 55% |
| Buy and hold | 18.2% | -95.4% | 0.55 | 0.19 | 55.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 8-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 8-day average falls below the 97-day average