Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Nagarro SE backtest
10 trend-following strategies were compared on the full daily history of Nagarro SE. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.8%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.6%, MDD -12.8%, Sharpe 0.79, 11% exposure.
CAGR reference leader: Supertrend — CAGR 20.8%, MDD -41.4%, exposure 45%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 71.4%p (CAGR 7.6%, MDD -12.8%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=4 |
7.6% | -12.8% | 0.79 | 0.60 | 1.5x | 5 | 11% |
| 볼린저 밴드 돌파 n=62, k=2.3 |
13.0% | -23.4% | 0.68 | 0.55 | 2.0x | 11 | 28% |
| Supertrend period=20, mult=2.5 |
20.8% | -41.4% | 0.59 | 0.50 | 2.9x | 37 | 45% |
| ADX / DI 방향성 period=28, threshold=19 |
19.7% | -39.7% | 0.58 | 0.50 | 2.8x | 15 | 18% |
| ROC 모멘텀 n=48, threshold=0.1 |
8.8% | -31.9% | 0.52 | 0.27 | 1.6x | 45 | 30% |
| MACD fast=12, slow=49, signal=10 |
14.0% | -39.1% | 0.46 | 0.36 | 2.1x | 72 | 47% |
| Parabolic SAR step=0.01, maxStep=0.16 |
13.1% | -47.9% | 0.44 | 0.27 | 2.0x | 69 | 46% |
| Donchian 채널 돌파 entryN=62, exitN=42 |
7.5% | -37.7% | 0.42 | 0.20 | 1.5x | 11 | 33% |
| EMA 크로스오버 fast=6, slow=100 |
3.6% | -50.1% | 0.27 | 0.07 | 1.2x | 19 | 36% |
| SMA 크로스오버 fast=7, slow=43 |
3.5% | -52.7% | 0.26 | 0.07 | 1.2x | 35 | 45% |
| Buy and hold | -0.8% | -84.2% | 0.23 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 28-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average