Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Nippon Active Value Fund Plc backtest
10 trend-following strategies were compared on the full daily history of Nippon Active Value Fund Plc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.6%, MDD -14.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.4%, drawdown -29.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -14.7%, Sharpe 0.89, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 14.6%, MDD -14.7%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=181 |
14.6% | -14.7% | 0.89 | 0.99 | 2.4x | 3 | 78% |
| ROC 모멘텀 n=126, threshold=-0.04 |
13.5% | -17.3% | 0.84 | 0.78 | 2.3x | 21 | 82% |
| EMA 크로스오버 fast=74, slow=139 |
13.3% | -21.4% | 0.81 | 0.62 | 2.2x | 3 | 77% |
| Donchian 채널 돌파 entryN=41, exitN=87 |
13.0% | -20.1% | 0.80 | 0.64 | 2.2x | 5 | 82% |
| Supertrend period=22, mult=4.5 |
8.1% | -19.2% | 0.58 | 0.42 | 1.7x | 14 | 73% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.9% | -3.4% | 0.48 | 0.27 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.8% | -18.4% | 0.27 | 0.15 | 1.2x | 113 | 53% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=25, mult=1.2 |
1.9% | -17.3% | 0.21 | 0.11 | 1.1x | 38 | 55% |
| MACD fast=18, slow=39, signal=21 |
-0.4% | -24.3% | 0.03 | -0.02 | 1.0x | 71 | 45% |
| ADX / DI 방향성 period=15, threshold=29 |
-0.4% | -12.6% | -0.04 | -0.03 | 1.0x | 18 | 8% |
| Buy and hold | 13.4% | -29.7% | 0.76 | 0.45 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 29-day average falls below the 181-day average