Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NC backtest
10 trend-following strategies were compared on the full daily history of NC. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.1%, MDD -51.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.1%, drawdown -86.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.1%, MDD -51.1%, Sharpe 0.50, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 12.1%, MDD -51.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=190 |
12.1% | -51.1% | 0.50 | 0.24 | 19.6x | 27 | 57% |
| SMA 크로스오버 fast=58, slow=176 |
12.0% | -61.8% | 0.50 | 0.19 | 19.5x | 33 | 58% |
| Donchian 채널 돌파 entryN=54, exitN=63 |
7.4% | -72.9% | 0.38 | 0.10 | 6.5x | 50 | 58% |
| Supertrend period=29, mult=3.1 |
4.8% | -61.9% | 0.31 | 0.08 | 3.4x | 170 | 50% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
4.8% | -63.8% | 0.31 | 0.08 | 3.4x | 154 | 40% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.8% | -73.1% | 0.28 | 0.05 | 2.6x | 140 | 49% |
| ROC 모멘텀 n=125, threshold=-0.03 |
2.1% | -84.1% | 0.24 | 0.03 | 1.7x | 218 | 61% |
| ADX / DI 방향성 period=15, threshold=43 |
1.6% | -29.8% | 0.21 | 0.05 | 1.5x | 22 | 2% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=1.4 |
0.7% | -77.6% | 0.17 | 0.01 | 1.2x | 212 | 37% |
| MACD fast=16, slow=32, signal=23 |
-0.6% | -86.5% | 0.16 | -0.01 | 0.8x | 300 | 52% |
| Buy and hold | 8.1% | -86.9% | 0.40 | 0.09 | 7.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 190-day EMA
- Sell — Sell when the 53-day EMA falls below the 190-day EMA