Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Nickel Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Nickel Industries Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.9%, MDD -22.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.9%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.2%, MDD -55.7%, Sharpe 0.84, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 14.9%, MDD -22.2%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=34 |
25.2% | -55.7% | 0.84 | 0.45 | 6.0x | 50 | 50% |
| 볼린저 밴드 돌파 n=59, k=3 |
14.9% | -22.2% | 0.72 | 0.67 | 3.0x | 10 | 19% |
| ADX / DI 방향성 period=23, threshold=15 |
17.7% | -32.4% | 0.68 | 0.55 | 3.7x | 66 | 40% |
| EMA 크로스오버 fast=18, slow=112 |
17.3% | -42.7% | 0.63 | 0.40 | 3.5x | 20 | 52% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=19, mult=1.8 |
15.7% | -34.0% | 0.62 | 0.46 | 3.2x | 34 | 40% |
| Donchian 채널 돌파 entryN=44, exitN=17 |
14.4% | -45.3% | 0.57 | 0.32 | 2.9x | 28 | 44% |
| Supertrend period=27, mult=4.8 |
15.0% | -59.6% | 0.56 | 0.25 | 3.0x | 22 | 57% |
| ROC 모멘텀 n=75, threshold=0.12 |
12.6% | -47.8% | 0.55 | 0.26 | 2.6x | 54 | 36% |
| Parabolic SAR step=0.005, maxStep=0.3 |
13.1% | -53.3% | 0.53 | 0.25 | 2.7x | 70 | 50% |
| MACD fast=16, slow=22, signal=21 |
-1.0% | -77.1% | 0.15 | -0.01 | 0.9x | 106 | 46% |
| Buy and hold | 14.9% | -74.2% | 0.53 | 0.20 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 34-day average
- Sell — Sell (to cash) when the 21-day average falls below the 34-day average