Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NICE평가정보 backtest
10 trend-following strategies were compared on the full daily history of NICE평가정보. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -50.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.9%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -55.7%, Sharpe 0.52, 55% exposure.
CAGR reference leader: Supertrend — CAGR 11.9%, MDD -66.3%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 11.3%, MDD -50.8%, exposure 54%).
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=32, slow=198 |
11.5% | -55.7% | 0.52 | 0.21 | 17.7x | 35 | 55% |
| Supertrend period=4, mult=4.1 |
11.9% | -66.3% | 0.51 | 0.18 | 19.5x | 79 | 61% |
| EMA 크로스오버 fast=19, slow=167 |
11.3% | -50.8% | 0.51 | 0.22 | 16.7x | 39 | 54% |
| ROC 모멘텀 n=170, threshold=0 |
9.1% | -57.8% | 0.44 | 0.16 | 9.9x | 137 | 55% |
| Donchian 채널 돌파 entryN=28, exitN=62 |
8.6% | -69.2% | 0.42 | 0.12 | 8.8x | 59 | 70% |
| ADX / DI 방향성 period=48, threshold=19 |
5.7% | -49.0% | 0.38 | 0.12 | 4.3x | 34 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=1.9 |
1.9% | -68.6% | 0.20 | 0.03 | 1.6x | 129 | 36% |
| MACD fast=24, slow=61, signal=26 |
0.6% | -65.3% | 0.17 | 0.01 | 1.2x | 203 | 50% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
0.3% | -71.9% | 0.13 | 0.00 | 1.1x | 168 | 32% |
| Parabolic SAR step=0.04, maxStep=0.18 |
-3.0% | -88.8% | 0.04 | -0.03 | 0.4x | 775 | 48% |
| Buy and hold | 6.9% | -80.4% | 0.37 | 0.09 | 5.8x | 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 32-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 32-day average falls below the 198-day average