Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NHPC Limited backtest
10 trend-following strategies were compared on the full daily history of NHPC Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -43.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -59.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -43.0%, Sharpe 0.36, 44% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 5.6%, MDD -43.0%, exposure 44%).
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=58, slow=173 |
5.6% | -43.0% | 0.36 | 0.13 | 2.5x | 18 | 44% |
| SMA 크로스오버 fast=8, slow=219 |
5.4% | -48.2% | 0.35 | 0.11 | 2.4x | 46 | 46% |
| Donchian 채널 돌파 entryN=80, exitN=55 |
5.3% | -51.5% | 0.35 | 0.10 | 2.4x | 22 | 41% |
| ADX / DI 방향성 period=39, threshold=19 |
2.7% | -41.7% | 0.26 | 0.06 | 1.6x | 30 | 16% |
| MACD fast=14, slow=36, signal=11 |
1.9% | -50.6% | 0.20 | 0.04 | 1.4x | 250 | 49% |
| ROC 모멘텀 n=93, threshold=-0.04 |
0.7% | -61.3% | 0.15 | 0.01 | 1.1x | 167 | 62% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
0.8% | -37.6% | 0.14 | 0.02 | 1.2x | 64 | 32% |
| Supertrend period=18, mult=3.7 |
-0.3% | -60.1% | 0.09 | -0.00 | 1.0x | 69 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.6% | -70.5% | 0.03 | -0.02 | 0.8x | 123 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=1.4 |
-2.4% | -56.9% | -0.02 | -0.04 | 0.7x | 106 | 37% |
| Buy and hold | 4.6% | -59.3% | 0.30 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 173-day EMA
- Sell — Sell when the 58-day EMA falls below the 173-day EMA