Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Nuode New Materials Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Nuode New Materials Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.0%, MDD -51.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.8%, drawdown -89.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.0%, MDD -51.0%, Sharpe 0.65, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 16.0%, MDD -51.0%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=65, k=2.7 |
16.0% | -51.0% | 0.65 | 0.31 | 72.5x | 56 | 26% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=3.2 |
12.6% | -57.2% | 0.59 | 0.22 | 30.8x | 58 | 19% |
| EMA 크로스오버 fast=18, slow=40 |
16.0% | -61.1% | 0.59 | 0.26 | 71.6x | 124 | 47% |
| Donchian 채널 돌파 entryN=68, exitN=44 |
15.4% | -58.4% | 0.59 | 0.26 | 61.5x | 52 | 40% |
| ADX / DI 방향성 period=17, threshold=18 |
14.7% | -55.8% | 0.58 | 0.26 | 52.6x | 296 | 39% |
| SMA 크로스오버 fast=12, slow=48 |
15.3% | -70.9% | 0.58 | 0.22 | 61.2x | 164 | 46% |
| Supertrend period=15, mult=3.3 |
14.6% | -65.2% | 0.57 | 0.22 | 50.9x | 146 | 44% |
| ROC 모멘텀 n=116, threshold=-0.06 |
11.8% | -62.2% | 0.48 | 0.19 | 24.7x | 209 | 56% |
| MACD fast=13, slow=34, signal=14 |
9.0% | -76.9% | 0.42 | 0.12 | 12.1x | 392 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
8.8% | -74.5% | 0.42 | 0.12 | 11.4x | 454 | 48% |
| Buy and hold | 6.8% | -89.6% | 0.38 | 0.08 | 6.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 65-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 65-day middle average