Trend-Following Backtester · Guide · backtest 한국어

equity · US

NMI Holdings Inc backtest

10 trend-following strategies were compared on the full daily history of NMI Holdings Inc. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -36.1%).

Data 2013-11-08 ~ 2026-07-31daily bars 3,199 (12.7 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 9.4%, drawdown -73.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -36.1%, Sharpe 0.53, 64% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 11.6%, MDD -36.1%, exposure 64%).

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=33, exitN=48
11.6%-36.1%0.530.324.0x3164%
SMA 크로스오버
fast=59, slow=88
9.6%-54.3%0.480.183.2x4158%
EMA 크로스오버
fast=54, slow=218
7.5%-65.3%0.410.122.5x1564%
Keltner 채널 돌파
emaPeriod=76, atrPeriod=14, mult=3.7
5.1%-44.7%0.370.121.9x3130%
ROC 모멘텀
n=132, threshold=0.06
5.8%-47.2%0.350.122.0x11751%
Supertrend
period=9, mult=2.1
5.7%-50.6%0.340.112.0x12953%
볼린저 밴드 돌파
n=53, k=1
5.0%-40.7%0.320.121.9x8544%
ADX / DI 방향성
period=29, threshold=29
1.7%-13.6%0.280.121.2x146%
MACD
fast=7, slow=28, signal=18
4.0%-59.8%0.280.071.7x20950%
Parabolic SAR
step=0.03, maxStep=0.36
3.0%-42.0%0.250.071.5x33151%
Buy and hold9.4%-73.1%0.430.133.1x1100%
1x 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -73% 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.1% (2021-05-04 → 2022-08-02), recovered after 822 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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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