Trend-Following Backtester · Guide · backtest 한국어

equity · NL

NN Group N.V. backtest

10 trend-following strategies were compared on the full daily history of NN Group N.V.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -30.3%).

Data 2014-07-02 ~ 2026-07-31daily bars 3,092 (12.1 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 11.7%, drawdown -49.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -47.2%, Sharpe 0.65, 92% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 2.2%p (CAGR 9.8%, MDD -30.3%, exposure 66%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=11, exitN=117
12.7%-47.2%0.650.274.2x1792%
EMA 크로스오버
fast=34, slow=242
9.8%-30.3%0.610.323.1x1166%
ROC 모멘텀
n=16, threshold=-0.09
11.8%-50.1%0.610.243.8x3995%
Supertrend
period=21, mult=2.6
8.8%-47.1%0.570.192.8x9759%
SMA 크로스오버
fast=59, slow=205
8.4%-31.7%0.560.262.6x1761%
MACD
fast=19, slow=23, signal=7
6.4%-33.9%0.470.192.1x20151%
ADX / DI 방향성
period=28, threshold=34
0.7%-3.1%0.450.241.1x21%
Parabolic SAR
step=0.02, maxStep=0.12
4.5%-37.2%0.350.121.7x23158%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=19, mult=0.7
1.2%-45.1%0.150.031.2x17952%
볼린저 밴드 돌파
n=13, k=3.3
0.2%-6.2%0.100.031.0x41%
Buy and hold11.7%-49.4%0.560.243.8x1100%
1x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -25% -37% -49% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -47.2% (2022-02-11 → 2023-11-10), recovered after 1,264 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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