Trend-Following Backtester · Guide · backtest 한국어
equity · SG
NetLink NBN Trust backtest
10 trend-following strategies were compared on the full daily history of NetLink NBN Trust. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.1%, drawdown -22.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.2%, MDD -22.8%, Sharpe 0.25, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=61, slow=262 |
2.2% | -22.8% | 0.25 | 0.09 | 1.2x | 7 | 54% |
| SMA 크로스오버 fast=51, slow=214 |
1.3% | -22.8% | 0.17 | 0.06 | 1.1x | 13 | 51% |
| ROC 모멘텀 Hold-like · Exposure 98% n=27, threshold=-0.09 |
1.3% | -25.7% | 0.16 | 0.05 | 1.1x | 9 | 98% |
| Supertrend period=23, mult=4.7 |
0.4% | -23.6% | 0.09 | 0.02 | 1.0x | 15 | 70% |
| Donchian 채널 돌파 entryN=23, exitN=53 |
0.0% | -29.8% | 0.05 | 0.00 | 1.0x | 27 | 74% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=4 |
-0.3% | -9.5% | -0.04 | -0.03 | 1.0x | 10 | 12% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
-0.6% | -10.5% | -0.12 | -0.06 | 0.9x | 8 | 9% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.6% | -9.7% | -0.18 | -0.06 | 1.0x | 8 | 5% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.1% | -34.0% | -0.19 | -0.06 | 0.8x | 51 | 51% |
| MACD fast=19, slow=56, signal=17 |
-4.0% | -45.9% | -0.41 | -0.09 | 0.7x | 88 | 49% |
| Buy and hold | 2.1% | -22.8% | 0.22 | 0.09 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 61-day EMA crosses above the 262-day EMA
- Sell — Sell when the 61-day EMA falls below the 262-day EMA