Trend-Following Backtester · Guide · backtest 한국어
equity · AU
NIB Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of NIB Holdings Ltd. 0 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 10.2%, MDD -42.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -56.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -42.9%, Sharpe 0.52, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 13.2%p (CAGR 10.2%, MDD -42.9%, exposure 70%).
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=43, exitN=74 |
10.2% | -42.9% | 0.52 | 0.24 | 6.2x | 29 | 70% |
| SMA 크로스오버 fast=50, slow=215 |
8.7% | -34.1% | 0.49 | 0.25 | 4.8x | 27 | 65% |
| ROC 모멘텀 n=140, threshold=-0.08 |
9.1% | -38.5% | 0.48 | 0.24 | 5.1x | 97 | 80% |
| EMA 크로스오버 fast=42, slow=188 |
7.5% | -39.5% | 0.44 | 0.19 | 3.9x | 27 | 69% |
| Supertrend period=11, mult=5 |
5.8% | -51.7% | 0.36 | 0.11 | 2.9x | 47 | 64% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
3.8% | -45.3% | 0.31 | 0.08 | 2.0x | 71 | 30% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=26, mult=1.3 |
3.9% | -34.2% | 0.30 | 0.12 | 2.1x | 137 | 40% |
| ADX / DI 방향성 period=36, threshold=38 |
1.0% | -9.8% | 0.26 | 0.10 | 1.2x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.1% | -63.3% | 0.10 | -0.00 | 1.0x | 293 | 54% |
| MACD fast=18, slow=36, signal=23 |
-1.2% | -61.2% | 0.05 | -0.02 | 0.8x | 209 | 50% |
| Buy and hold | 10.3% | -56.2% | 0.48 | 0.18 | 6.3x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 74 days