Trend-Following Backtester · Guide · backtest 한국어
equity · US
NN, Inc. backtest
10 trend-following strategies were compared on the full daily history of NN, Inc.. 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 5.8%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.2%, drawdown -97.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.8%, MDD -44.0%, Sharpe 0.39, 13% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 6.7%, MDD -60.4%, exposure 18%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 5.8%, MDD -44.0%, exposure 13%).
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=50, k=3.5 |
5.8% | -44.0% | 0.39 | 0.13 | 6.2x | 36 | 13% |
| ADX / DI 방향성 period=20, threshold=25 |
6.7% | -60.4% | 0.38 | 0.11 | 8.1x | 111 | 18% |
| Donchian 채널 돌파 entryN=11, exitN=42 |
5.8% | -91.8% | 0.36 | 0.06 | 6.2x | 141 | 75% |
| SMA 크로스오버 fast=26, slow=93 |
6.5% | -82.6% | 0.35 | 0.08 | 7.7x | 109 | 51% |
| Supertrend period=9, mult=3.5 |
4.2% | -91.1% | 0.31 | 0.05 | 3.8x | 145 | 55% |
| MACD fast=11, slow=42, signal=10 |
2.3% | -94.3% | 0.27 | 0.02 | 2.1x | 554 | 51% |
| EMA 크로스오버 fast=47, slow=74 |
3.0% | -88.4% | 0.26 | 0.03 | 2.6x | 83 | 53% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=3 |
3.5% | -81.2% | 0.26 | 0.04 | 3.1x | 92 | 21% |
| ROC 모멘텀 n=73, threshold=0.13 |
1.8% | -78.2% | 0.21 | 0.02 | 1.8x | 341 | 32% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.8% | -93.6% | 0.19 | -0.01 | 0.8x | 425 | 51% |
| Buy and hold | -2.2% | -97.0% | 0.27 | -0.02 | 0.5x | 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 50-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average