Trend-Following Backtester · Guide · backtest 한국어
equity · GB
NCC Group plc backtest
10 trend-following strategies were compared on the full daily history of NCC Group plc. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.3%, MDD -51.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.5%, drawdown -76.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -51.9%, Sharpe 0.48, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 9.3%, MDD -51.9%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.5 |
9.3% | -51.9% | 0.48 | 0.18 | 7.2x | 85 | 60% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
2.4% | -13.4% | 0.46 | 0.18 | 1.7x | 26 | 4% |
| Donchian 채널 돌파 entryN=7, exitN=54 |
8.5% | -73.2% | 0.42 | 0.12 | 6.1x | 65 | 86% |
| ROC 모멘텀 n=42, threshold=-0.15 |
7.9% | -62.1% | 0.40 | 0.13 | 5.4x | 89 | 90% |
| SMA 크로스오버 fast=54, slow=107 |
7.0% | -57.9% | 0.39 | 0.12 | 4.5x | 51 | 60% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=10, mult=4 |
1.4% | -7.0% | 0.33 | 0.20 | 1.4x | 8 | 3% |
| EMA 크로스오버 fast=108, slow=111 |
5.0% | -65.7% | 0.32 | 0.08 | 3.0x | 29 | 66% |
| ADX / DI 방향성 period=39, threshold=23 |
2.2% | -26.2% | 0.24 | 0.08 | 1.6x | 32 | 14% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.7% | -76.6% | 0.19 | 0.02 | 1.4x | 371 | 56% |
| MACD fast=24, slow=28, signal=13 |
-1.8% | -90.1% | 0.05 | -0.02 | 0.7x | 281 | 52% |
| Buy and hold | 7.5% | -76.5% | 0.39 | 0.10 | 5.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)