Trend-Following Backtester · Guide · backtest 한국어
equity · US
NRC Health backtest
10 trend-following strategies were compared on the full daily history of NRC Health. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -7.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.2%, drawdown -85.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.3%, MDD -12.6%, Sharpe 0.77, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.6%, MDD -55.5%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 73.0%p (CAGR 3.1%, MDD -7.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=23, mult=2.9 |
7.3% | -12.6% | 0.77 | 0.58 | 2.5x | 12 | 10% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
3.1% | -7.3% | 0.62 | 0.42 | 1.5x | 2 | 2% |
| ADX / DI 방향성 period=34, threshold=27 |
4.4% | -15.9% | 0.61 | 0.28 | 1.8x | 6 | 6% |
| ROC 모멘텀 n=140, threshold=0.23 |
5.0% | -31.7% | 0.41 | 0.16 | 1.9x | 68 | 18% |
| SMA 크로스오버 fast=69, slow=303 |
7.6% | -55.5% | 0.41 | 0.14 | 2.6x | 7 | 44% |
| EMA 크로스오버 fast=95, slow=155 |
6.4% | -66.2% | 0.37 | 0.10 | 2.3x | 9 | 44% |
| Donchian 채널 돌파 entryN=131, exitN=5 |
3.0% | -29.3% | 0.35 | 0.10 | 1.5x | 26 | 9% |
| Supertrend period=9, mult=2.6 |
1.6% | -66.1% | 0.19 | 0.02 | 1.2x | 80 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.5% | -71.3% | 0.04 | -0.03 | 0.7x | 110 | 50% |
| MACD fast=16, slow=58, signal=16 |
-3.8% | -80.1% | -0.02 | -0.05 | 0.6x | 160 | 52% |
| Buy and hold | -0.2% | -85.6% | 0.20 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 24-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 24-day average