Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Nestle S.A. backtest
10 trend-following strategies were compared on the full daily history of Nestle S.A.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.2%, MDD -33.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.9%, drawdown -45.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -33.0%, Sharpe 0.45, 76% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 6.2%, MDD -33.0%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=131, slow=465 |
6.2% | -33.0% | 0.45 | 0.19 | 9.2x | 14 | 76% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.07 |
5.9% | -45.2% | 0.40 | 0.13 | 8.2x | 5 | 100% |
| Donchian 채널 돌파 entryN=96, exitN=66 |
3.1% | -37.1% | 0.33 | 0.08 | 3.1x | 64 | 51% |
| SMA 크로스오버 fast=46, slow=140 |
3.2% | -50.6% | 0.30 | 0.06 | 3.1x | 74 | 60% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
1.5% | -27.0% | 0.22 | 0.05 | 1.7x | 88 | 25% |
| ADX / DI 방향성 period=36, threshold=17 |
0.9% | -27.5% | 0.17 | 0.03 | 1.4x | 82 | 16% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3.7 |
0.8% | -46.3% | 0.13 | 0.02 | 1.3x | 126 | 32% |
| Supertrend period=7, mult=5 |
0.3% | -59.3% | 0.08 | 0.00 | 1.1x | 204 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.3% | -89.4% | -0.27 | -0.05 | 0.2x | 332 | 55% |
| MACD fast=19, slow=43, signal=19 |
-5.3% | -91.2% | -0.37 | -0.06 | 0.1x | 444 | 49% |
| Buy and hold | 5.9% | -45.2% | 0.40 | 0.13 | 8.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 131-day EMA crosses above the 465-day EMA
- Sell — Sell when the 131-day EMA falls below the 465-day EMA