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.

Data 2012-09-20 ~ 2026-07-31daily bars 3,484 (13.9 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 5.8%, drawdown -50.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -40.8%, Sharpe 0.38, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=39, exitN=67
6.0%-40.8%0.380.152.2x2368%
ADX / DI 방향성
period=35, threshold=31
0.5%-7.1%0.180.071.1x22%
SMA 크로스오버
fast=39, slow=156
1.3%-48.1%0.170.031.2x2956%
Keltner 채널 돌파
emaPeriod=17, atrPeriod=19, mult=3.4
0.7%-15.9%0.150.041.1x144%
EMA 크로스오버
fast=57, slow=172
0.6%-47.8%0.130.011.1x2557%
ROC 모멘텀
n=148, threshold=-0.03
0.4%-43.8%0.120.011.1x12165%
볼린저 밴드 돌파
n=49, k=2.7
-0.7%-40.2%-0.00-0.020.9x3217%
MACD
fast=17, slow=51, signal=19
-2.4%-41.4%-0.02-0.060.7x15050%
Parabolic SAR
step=0.01, maxStep=0.36
-3.8%-51.9%-0.11-0.070.6x19652%
Supertrend
period=24, mult=3.5
-4.0%-57.2%-0.12-0.070.6x7451%
Buy and hold5.8%-50.2%0.340.122.2x1100%
1x 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -25% -38% -50% 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -40.8% (2019-05-06 → 2020-07-09), recovered after 672 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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