Trend-Following Backtester · Guide · backtest 한국어
equity · US
NBT Bancorp Inc. backtest
10 trend-following strategies were compared on the full daily history of NBT Bancorp Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -60.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.0%, MDD -63.7%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.12 |
5.0% | -63.7% | 0.32 | 0.08 | 5.4x | 29 | 100% |
| Donchian 채널 돌파 entryN=42, exitN=268 |
4.8% | -66.7% | 0.31 | 0.07 | 5.0x | 19 | 91% |
| ADX / DI 방향성 period=38, threshold=38 |
1.6% | -17.2% | 0.23 | 0.09 | 1.7x | 2 | 7% |
| SMA 크로스오버 fast=38, slow=72 |
1.8% | -73.7% | 0.20 | 0.02 | 1.9x | 147 | 56% |
| EMA 크로스오버 fast=41, slow=130 |
0.2% | -80.0% | 0.14 | 0.00 | 1.1x | 75 | 59% |
| Supertrend period=25, mult=4.1 |
-0.4% | -75.3% | 0.12 | -0.01 | 0.9x | 97 | 57% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=3.7 |
0.3% | -9.3% | 0.09 | 0.03 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=40, k=2.9 |
-1.5% | -58.0% | -0.06 | -0.03 | 0.6x | 64 | 11% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.8% | -92.9% | -0.07 | -0.05 | 0.2x | 295 | 54% |
| MACD fast=18, slow=40, signal=17 |
-14.9% | -99.7% | -0.53 | -0.15 | 0.0x | 509 | 50% |
| Buy and hold | 6.5% | -60.2% | 0.35 | 0.11 | 8.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -12%
- Sell — Sell when the 3-day return drops to -12% or below