Trend-Following Backtester · Guide · backtest 한국어
equity · NL
ING Groep N.V. backtest
10 trend-following strategies were compared on the full daily history of ING Groep N.V.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.0%, MDD -41.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.7%, drawdown -94.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -41.4%, Sharpe 0.54, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 10.0%, MDD -41.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=54 |
10.0% | -41.4% | 0.54 | 0.24 | 20.1x | 95 | 60% |
| Donchian 채널 돌파 entryN=67, exitN=66 |
9.4% | -51.0% | 0.53 | 0.18 | 16.7x | 49 | 56% |
| SMA 크로스오버 fast=28, slow=181 |
8.2% | -58.2% | 0.46 | 0.14 | 11.8x | 55 | 60% |
| ROC 모멘텀 n=127, threshold=-0.01 |
6.3% | -69.1% | 0.38 | 0.09 | 6.8x | 247 | 63% |
| Supertrend period=12, mult=4.8 |
4.6% | -63.7% | 0.31 | 0.07 | 4.1x | 115 | 54% |
| MACD fast=19, slow=35, signal=12 |
2.6% | -75.4% | 0.23 | 0.03 | 2.2x | 413 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
2.1% | -53.3% | 0.21 | 0.04 | 1.9x | 143 | 40% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=1.7 |
1.9% | -61.5% | 0.19 | 0.03 | 1.8x | 211 | 46% |
| ADX / DI 방향성 period=31, threshold=25 |
0.8% | -15.5% | 0.18 | 0.05 | 1.3x | 30 | 6% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-0.7% | -87.7% | 0.10 | -0.01 | 0.8x | 579 | 55% |
| Buy and hold | 5.7% | -94.3% | 0.34 | 0.06 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 54-day EMA
- Sell — Sell when the 34-day EMA falls below the 54-day EMA