Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Dyno Nobel Limited backtest
10 trend-following strategies were compared on the full daily history of Dyno Nobel Limited. 3 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 10.9%, MDD -48.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.1%, drawdown -81.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -48.3%, Sharpe 0.57, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 10.9%, MDD -48.3%, exposure 49%).
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=115, exitN=81 |
10.9% | -48.3% | 0.57 | 0.23 | 10.9x | 27 | 49% |
| SMA 크로스오버 fast=28, slow=192 |
10.5% | -48.5% | 0.54 | 0.22 | 10.0x | 41 | 53% |
| EMA 크로스오버 fast=17, slow=124 |
9.9% | -58.2% | 0.52 | 0.17 | 8.8x | 59 | 54% |
| ROC 모멘텀 n=109, threshold=0.09 |
5.9% | -71.4% | 0.37 | 0.08 | 3.7x | 177 | 37% |
| ADX / DI 방향성 period=36, threshold=17 |
4.6% | -42.1% | 0.37 | 0.11 | 2.8x | 60 | 22% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2.5 |
4.9% | -44.1% | 0.35 | 0.11 | 3.0x | 94 | 36% |
| MACD fast=54, slow=93, signal=30 |
5.7% | -59.8% | 0.35 | 0.10 | 3.6x | 112 | 55% |
| Supertrend period=16, mult=5 |
5.1% | -60.6% | 0.34 | 0.08 | 3.2x | 67 | 48% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
3.0% | -26.6% | 0.32 | 0.11 | 2.0x | 36 | 14% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.6% | -85.2% | 0.09 | -0.01 | 0.9x | 294 | 53% |
| Buy and hold | 8.1% | -81.5% | 0.40 | 0.10 | 6.0x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 81 days