Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NS Solutions Corp backtest
10 trend-following strategies were compared on the full daily history of NS Solutions Corp. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -56.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -79.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -56.4%, Sharpe 0.40, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 23.4%p (CAGR 7.2%, MDD -56.4%, exposure 57%).
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=21, slow=81 |
7.2% | -56.4% | 0.40 | 0.13 | 5.2x | 77 | 57% |
| Donchian 채널 돌파 entryN=18, exitN=66 |
6.9% | -69.9% | 0.37 | 0.10 | 4.8x | 63 | 79% |
| Supertrend period=8, mult=4.4 |
5.8% | -70.8% | 0.35 | 0.08 | 3.8x | 89 | 59% |
| EMA 크로스오버 fast=32, slow=122 |
4.2% | -69.8% | 0.29 | 0.06 | 2.7x | 53 | 60% |
| MACD fast=29, slow=59, signal=40 |
4.1% | -72.3% | 0.29 | 0.06 | 2.6x | 151 | 50% |
| ROC 모멘텀 n=90, threshold=-0.04 |
0.9% | -88.7% | 0.17 | 0.01 | 1.2x | 231 | 67% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
0.6% | -67.5% | 0.14 | 0.01 | 1.2x | 165 | 44% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=3.5 |
0.3% | -61.5% | 0.11 | 0.01 | 1.1x | 74 | 29% |
| ADX / DI 방향성 period=26, threshold=30 |
0.6% | -43.4% | 0.11 | 0.01 | 1.1x | 20 | 4% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-4.1% | -79.9% | -0.05 | -0.05 | 0.4x | 579 | 52% |
| Buy and hold | 8.6% | -79.8% | 0.41 | 0.11 | 7.2x | 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 21-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 21-day average falls below the 81-day average