Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Basic-Fit NV backtest
10 trend-following strategies were compared on the full daily history of Basic-Fit NV. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Supertrend (CAGR 6.7%, MDD -38.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -69.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.8%, MDD -62.6%, Sharpe 0.60, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Supertrend — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 6.4%p (CAGR 6.7%, MDD -38.9%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.13 |
16.8% | -62.6% | 0.60 | 0.27 | 4.9x | 19 | 99% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
9.3% | -66.3% | 0.43 | 0.14 | 2.5x | 31 | 86% |
| EMA 크로스오버 fast=14, slow=308 |
7.1% | -45.9% | 0.40 | 0.16 | 2.0x | 13 | 57% |
| SMA 크로스오버 fast=25, slow=30 |
7.4% | -54.6% | 0.40 | 0.14 | 2.1x | 131 | 58% |
| Supertrend period=17, mult=3.1 |
6.7% | -38.9% | 0.37 | 0.17 | 1.9x | 61 | 59% |
| ADX / DI 방향성 period=29, threshold=16 |
2.9% | -35.0% | 0.26 | 0.08 | 1.3x | 44 | 24% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=3.7 |
1.4% | -14.3% | 0.23 | 0.10 | 1.2x | 6 | 6% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.6% | -26.6% | 0.11 | 0.02 | 1.1x | 10 | 9% |
| MACD fast=21, slow=63, signal=18 |
-3.1% | -42.7% | 0.00 | -0.07 | 0.7x | 114 | 52% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-10.0% | -77.3% | -0.24 | -0.13 | 0.3x | 281 | 54% |
| Buy and hold | 8.5% | -69.0% | 0.40 | 0.12 | 2.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -13%
- Sell — Sell when the 4-day return drops to -13% or below