Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NHN backtest
10 trend-following strategies were compared on the full daily history of NHN. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -44.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.2%, drawdown -78.5%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -46.2%, Sharpe 0.43, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 3.0%, MDD -44.7%, exposure 6%).
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=24, mult=3.3 |
8.6% | -46.2% | 0.43 | 0.19 | 2.9x | 65 | 42% |
| SMA 크로스오버 fast=59, slow=88 |
7.1% | -49.1% | 0.38 | 0.14 | 2.4x | 41 | 47% |
| EMA 크로스오버 fast=51, slow=94 |
4.1% | -63.8% | 0.29 | 0.06 | 1.7x | 25 | 39% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=17, mult=2.7 |
3.0% | -44.7% | 0.26 | 0.07 | 1.5x | 27 | 6% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.6% | -58.9% | 0.20 | 0.03 | 1.2x | 111 | 49% |
| 볼린저 밴드 돌파 n=45, k=3 |
1.8% | -47.2% | 0.19 | 0.04 | 1.3x | 21 | 12% |
| ROC 모멘텀 n=80, threshold=0.04 |
-0.6% | -62.2% | 0.13 | -0.01 | 0.9x | 103 | 38% |
| Donchian 채널 돌파 entryN=65, exitN=65 |
-1.0% | -66.8% | 0.12 | -0.01 | 0.9x | 25 | 40% |
| ADX / DI 방향성 period=37, threshold=22 |
0.2% | -38.7% | 0.08 | 0.00 | 1.0x | 12 | 9% |
| MACD fast=24, slow=59, signal=13 |
-2.4% | -74.2% | 0.07 | -0.03 | 0.7x | 137 | 51% |
| Buy and hold | 0.2% | -78.5% | 0.22 | 0.00 | 1.0x | 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) — 24-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)