Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Nuvoco Vistas Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Nuvoco Vistas Corporation Limited. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -13.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.8%, drawdown -53.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -13.5%, Sharpe 0.38, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 3.3%, MDD -13.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=37 |
3.3% | -13.5% | 0.38 | 0.24 | 1.2x | 6 | 5% |
| SMA 크로스오버 fast=48, slow=71 |
3.1% | -22.3% | 0.26 | 0.14 | 1.2x | 15 | 42% |
| Donchian 채널 돌파 entryN=18, exitN=64 |
2.9% | -40.5% | 0.24 | 0.07 | 1.2x | 9 | 60% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=3 |
1.9% | -17.7% | 0.22 | 0.10 | 1.1x | 6 | 9% |
| Supertrend period=4, mult=4.4 |
1.1% | -39.3% | 0.16 | 0.03 | 1.1x | 11 | 58% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
1.2% | -22.4% | 0.16 | 0.05 | 1.1x | 8 | 8% |
| ROC 모멘텀 n=50, threshold=0.12 |
1.2% | -21.0% | 0.15 | 0.06 | 1.1x | 36 | 13% |
| MACD fast=7, slow=56, signal=14 |
-2.7% | -48.7% | -0.01 | -0.05 | 0.9x | 72 | 48% |
| EMA 크로스오버 fast=32, slow=48 |
-8.0% | -53.9% | -0.37 | -0.15 | 0.7x | 23 | 41% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-10.2% | -52.9% | -0.37 | -0.19 | 0.6x | 135 | 48% |
| Buy and hold | -9.8% | -53.3% | -0.17 | -0.18 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)