Trend-Following Backtester · Guide · backtest 한국어
equity · US
NMI Holdings Inc backtest
10 trend-following strategies were compared on the full daily history of NMI Holdings Inc. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -36.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.4%, drawdown -73.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -36.1%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 11.6%, MDD -36.1%, exposure 64%).
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=33, exitN=48 |
11.6% | -36.1% | 0.53 | 0.32 | 4.0x | 31 | 64% |
| SMA 크로스오버 fast=59, slow=88 |
9.6% | -54.3% | 0.48 | 0.18 | 3.2x | 41 | 58% |
| EMA 크로스오버 fast=54, slow=218 |
7.5% | -65.3% | 0.41 | 0.12 | 2.5x | 15 | 64% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=14, mult=3.7 |
5.1% | -44.7% | 0.37 | 0.12 | 1.9x | 31 | 30% |
| ROC 모멘텀 n=132, threshold=0.06 |
5.8% | -47.2% | 0.35 | 0.12 | 2.0x | 117 | 51% |
| Supertrend period=9, mult=2.1 |
5.7% | -50.6% | 0.34 | 0.11 | 2.0x | 129 | 53% |
| 볼린저 밴드 돌파 n=53, k=1 |
5.0% | -40.7% | 0.32 | 0.12 | 1.9x | 85 | 44% |
| ADX / DI 방향성 period=29, threshold=29 |
1.7% | -13.6% | 0.28 | 0.12 | 1.2x | 14 | 6% |
| MACD fast=7, slow=28, signal=18 |
4.0% | -59.8% | 0.28 | 0.07 | 1.7x | 209 | 50% |
| Parabolic SAR step=0.03, maxStep=0.36 |
3.0% | -42.0% | 0.25 | 0.07 | 1.5x | 331 | 51% |
| Buy and hold | 9.4% | -73.1% | 0.43 | 0.13 | 3.1x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 48 days