Trend-Following Backtester · Guide · backtest 한국어
equity · PT
NOS SGPS SA backtest
10 trend-following strategies were compared on the full daily history of NOS SGPS SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -30.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -97.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -30.8%, Sharpe 0.47, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -50.7%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 66.7%p (CAGR 3.9%, MDD -30.8%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=10, k=2.6 |
3.9% | -30.8% | 0.47 | 0.13 | 2.8x | 82 | 7% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=22, mult=2.7 |
4.6% | -46.2% | 0.45 | 0.10 | 3.3x | 80 | 12% |
| SMA 크로스오버 fast=32, slow=115 |
5.2% | -50.7% | 0.37 | 0.10 | 3.9x | 58 | 50% |
| EMA 크로스오버 fast=26, slow=206 |
4.7% | -46.2% | 0.37 | 0.10 | 3.4x | 37 | 45% |
| Supertrend period=19, mult=5 |
5.2% | -61.4% | 0.35 | 0.08 | 3.8x | 74 | 50% |
| Donchian 채널 돌파 entryN=69, exitN=75 |
4.2% | -48.1% | 0.31 | 0.09 | 3.0x | 38 | 52% |
| ADX / DI 방향성 period=13, threshold=33 |
2.5% | -49.7% | 0.26 | 0.05 | 1.9x | 140 | 15% |
| ROC 모멘텀 n=141, threshold=0.07 |
2.1% | -48.7% | 0.22 | 0.04 | 1.8x | 181 | 35% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.2% | -83.6% | 0.04 | -0.01 | 0.7x | 448 | 51% |
| MACD fast=19, slow=29, signal=19 |
-3.3% | -82.1% | -0.07 | -0.04 | 0.4x | 302 | 50% |
| Buy and hold | -6.5% | -97.4% | -0.07 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 10-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 10-day middle average