Trend-Following Backtester · Guide · backtest 한국어
equity · NL
NN Group N.V. backtest
10 trend-following strategies were compared on the full daily history of NN Group N.V.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.3%, MDD -30.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.2%, drawdown -49.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -47.2%, Sharpe 0.63, 92% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 2.2%p (CAGR 9.3%, MDD -30.3%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=117 |
12.2% | -47.2% | 0.63 | 0.26 | 4.0x | 17 | 92% |
| EMA 크로스오버 fast=34, slow=242 |
9.3% | -30.3% | 0.59 | 0.31 | 3.0x | 11 | 66% |
| ROC 모멘텀 n=16, threshold=-0.09 |
11.3% | -50.1% | 0.59 | 0.22 | 3.7x | 39 | 95% |
| Supertrend period=21, mult=2.6 |
8.4% | -47.1% | 0.55 | 0.18 | 2.7x | 98 | 59% |
| SMA 크로스오버 fast=59, slow=205 |
7.9% | -31.7% | 0.53 | 0.25 | 2.5x | 17 | 62% |
| MACD fast=19, slow=23, signal=7 |
6.2% | -33.9% | 0.46 | 0.18 | 2.1x | 202 | 51% |
| ADX / DI 방향성 period=28, threshold=34 |
0.7% | -3.1% | 0.44 | 0.24 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.02, maxStep=0.12 |
4.2% | -37.2% | 0.33 | 0.11 | 1.6x | 232 | 58% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=0.7 |
0.9% | -45.1% | 0.13 | 0.02 | 1.1x | 180 | 52% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
0.2% | -6.2% | 0.10 | 0.03 | 1.0x | 4 | 1% |
| Buy and hold | 11.2% | -49.4% | 0.55 | 0.23 | 3.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 117 days