Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Bank Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of National Bank Holdings Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -50.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -40.8%, Sharpe 0.36, 68% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=67 |
5.6% | -40.8% | 0.36 | 0.14 | 2.1x | 23 | 68% |
| ADX / DI 방향성 period=35, threshold=31 |
0.5% | -7.1% | 0.18 | 0.06 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=3.4 |
0.6% | -15.9% | 0.15 | 0.04 | 1.1x | 14 | 4% |
| SMA 크로스오버 fast=39, slow=156 |
1.0% | -48.1% | 0.15 | 0.02 | 1.1x | 29 | 57% |
| EMA 크로스오버 fast=57, slow=172 |
0.3% | -47.8% | 0.11 | 0.01 | 1.0x | 25 | 58% |
| ROC 모멘텀 n=148, threshold=-0.03 |
0.0% | -43.8% | 0.11 | 0.00 | 1.0x | 121 | 65% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
-0.7% | -40.2% | -0.00 | -0.02 | 0.9x | 32 | 17% |
| MACD fast=17, slow=51, signal=19 |
-2.3% | -41.4% | -0.02 | -0.06 | 0.7x | 150 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.7% | -51.9% | -0.10 | -0.07 | 0.6x | 196 | 51% |
| Supertrend period=24, mult=3.5 |
-4.0% | -57.2% | -0.12 | -0.07 | 0.6x | 74 | 50% |
| Buy and hold | 5.5% | -50.2% | 0.33 | 0.11 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 39 days
- Sell — Sell when price breaks below the lowest low of the last 67 days