Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NMDC Limited backtest
10 trend-following strategies were compared on the full daily history of NMDC Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -23.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -88.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -39.1%, Sharpe 0.46, 26% exposure.
CAGR reference leader: Supertrend — CAGR 8.1%, MDD -48.7%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 3.1%, MDD -23.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=2.2 |
7.5% | -39.1% | 0.46 | 0.19 | 3.8x | 63 | 26% |
| ADX / DI 방향성 period=30, threshold=32 |
3.1% | -23.3% | 0.45 | 0.13 | 1.8x | 4 | 2% |
| Supertrend period=22, mult=3.5 |
8.1% | -48.7% | 0.43 | 0.17 | 4.2x | 82 | 42% |
| SMA 크로스오버 fast=7, slow=108 |
5.7% | -65.4% | 0.34 | 0.09 | 2.8x | 70 | 47% |
| Donchian 채널 돌파 entryN=42, exitN=35 |
5.2% | -70.1% | 0.33 | 0.07 | 2.5x | 47 | 47% |
| EMA 크로스오버 fast=12, slow=61 |
4.9% | -54.1% | 0.32 | 0.09 | 2.4x | 81 | 48% |
| ROC 모멘텀 n=131, threshold=0.07 |
4.2% | -56.0% | 0.29 | 0.07 | 2.1x | 135 | 37% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=2 |
3.0% | -62.1% | 0.25 | 0.05 | 1.7x | 94 | 27% |
| Parabolic SAR step=0.01, maxStep=0.22 |
1.3% | -76.1% | 0.19 | 0.02 | 1.3x | 253 | 47% |
| MACD fast=18, slow=54, signal=18 |
1.1% | -84.1% | 0.18 | 0.01 | 1.2x | 195 | 53% |
| Buy and hold | -0.4% | -88.7% | 0.19 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 42-day middle average