Trend-Following Backtester · Guide · backtest 한국어
equity · DK
NTG Nordic Transport Group A/S backtest
10 trend-following strategies were compared on the full daily history of NTG Nordic Transport Group A/S. 10 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 -56.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.8%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -56.2%, Sharpe 0.59, 23% exposure.
CAGR reference leader: Parabolic SAR — CAGR 13.1%, MDD -75.8%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 11.6%, MDD -56.2%, exposure 23%).
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=91, exitN=25 |
11.6% | -56.2% | 0.59 | 0.21 | 18.4x | 39 | 23% |
| Parabolic SAR step=0.005, maxStep=0.1 |
13.1% | -75.8% | 0.51 | 0.17 | 26.4x | 163 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=4 |
8.6% | -60.1% | 0.48 | 0.14 | 9.0x | 43 | 20% |
| 볼린저 밴드 돌파 n=42, k=2.5 |
9.2% | -73.5% | 0.43 | 0.12 | 10.3x | 91 | 25% |
| Supertrend period=21, mult=3.3 |
6.8% | -77.6% | 0.34 | 0.09 | 5.7x | 127 | 48% |
| EMA 크로스오버 fast=57, slow=195 |
5.4% | -85.5% | 0.33 | 0.06 | 4.1x | 23 | 37% |
| ADX / DI 방향성 period=19, threshold=24 |
6.0% | -76.9% | 0.32 | 0.08 | 4.8x | 159 | 23% |
| MACD fast=19, slow=69, signal=25 |
3.6% | -93.0% | 0.28 | 0.04 | 2.5x | 217 | 53% |
| ROC 모멘텀 n=46, threshold=0.14 |
4.3% | -87.6% | 0.28 | 0.05 | 3.1x | 229 | 21% |
| SMA 크로스오버 fast=26, slow=30 |
2.4% | -83.8% | 0.25 | 0.03 | 1.9x | 373 | 48% |
| Buy and hold | -9.8% | -99.5% | 0.10 | -0.10 | 0.1x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 25 days