Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NHN backtest
10 trend-following strategies were compared on the full daily history of NHN. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -38.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.1%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -49.1%, Sharpe 0.30, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 0.2%, MDD -38.7%, exposure 9%).
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=59, slow=88 |
4.6% | -49.1% | 0.30 | 0.09 | 1.8x | 40 | 47% |
| Supertrend period=24, mult=3.3 |
4.3% | -46.2% | 0.29 | 0.09 | 1.7x | 64 | 42% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=17, mult=2.7 |
0.6% | -44.7% | 0.11 | 0.01 | 1.1x | 26 | 6% |
| EMA 크로스오버 fast=51, slow=94 |
-1.3% | -63.8% | 0.11 | -0.02 | 0.8x | 25 | 39% |
| Donchian 채널 돌파 entryN=65, exitN=65 |
-1.7% | -66.8% | 0.09 | -0.03 | 0.8x | 24 | 40% |
| ADX / DI 방향성 period=37, threshold=22 |
0.2% | -38.7% | 0.08 | 0.00 | 1.0x | 12 | 9% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.5% | -58.9% | 0.06 | -0.04 | 0.7x | 110 | 48% |
| 볼린저 밴드 돌파 n=45, k=3 |
-0.6% | -47.2% | 0.05 | -0.01 | 0.9x | 20 | 12% |
| ROC 모멘텀 n=80, threshold=0.04 |
-4.5% | -62.2% | -0.02 | -0.07 | 0.5x | 102 | 38% |
| MACD fast=24, slow=59, signal=13 |
-6.3% | -72.8% | -0.09 | -0.09 | 0.4x | 136 | 50% |
| Buy and hold | -5.1% | -78.5% | 0.09 | -0.06 | 0.5x | 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 59-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 59-day average falls below the 88-day average