Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NTPC Limited backtest
10 trend-following strategies were compared on the full daily history of NTPC Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -42.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -67.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -42.7%, Sharpe 0.49, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 8.3%, MDD -42.7%, exposure 52%).
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=73, slow=261 |
8.3% | -42.7% | 0.49 | 0.19 | 5.7x | 15 | 52% |
| EMA 크로스오버 fast=55, slow=194 |
5.8% | -69.1% | 0.37 | 0.08 | 3.4x | 26 | 55% |
| ADX / DI 방향성 period=29, threshold=40 |
0.9% | -6.4% | 0.33 | 0.14 | 1.2x | 6 | 1% |
| ROC 모멘텀 n=196, threshold=0.1 |
4.0% | -52.5% | 0.30 | 0.08 | 2.4x | 142 | 39% |
| 볼린저 밴드 돌파 n=12, k=3 |
1.0% | -11.1% | 0.25 | 0.09 | 1.2x | 12 | 1% |
| Supertrend period=21, mult=2.3 |
2.5% | -54.3% | 0.23 | 0.05 | 1.7x | 170 | 51% |
| Donchian 채널 돌파 entryN=116, exitN=75 |
2.5% | -79.7% | 0.23 | 0.03 | 1.7x | 24 | 47% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=3.9 |
0.6% | -9.8% | 0.16 | 0.06 | 1.1x | 10 | 2% |
| MACD fast=18, slow=50, signal=18 |
0.2% | -69.7% | 0.11 | 0.00 | 1.1x | 219 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-2.2% | -71.3% | -0.01 | -0.03 | 0.6x | 284 | 50% |
| Buy and hold | 8.1% | -67.8% | 0.42 | 0.12 | 5.5x | 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 73-day average price crosses above the 261-day average
- Sell — Sell (to cash) when the 73-day average falls below the 261-day average