Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Nanobiotix SA backtest
10 trend-following strategies were compared on the full daily history of Nanobiotix SA. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.7%, MDD -44.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.1%, drawdown -93.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.4%, MDD -53.4%, Sharpe 0.76, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 16.7%, MDD -44.7%, exposure 6%).
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=118, exitN=26 |
29.4% | -53.4% | 0.76 | 0.55 | 34.7x | 13 | 21% |
| ROC 모멘텀 n=120, threshold=0.03 |
25.5% | -76.7% | 0.67 | 0.33 | 22.8x | 113 | 38% |
| 볼린저 밴드 돌파 n=55, k=2 |
21.9% | -71.7% | 0.62 | 0.31 | 15.2x | 42 | 26% |
| EMA 크로스오버 fast=53, slow=158 |
20.7% | -60.4% | 0.60 | 0.34 | 13.4x | 15 | 39% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=1.8 |
20.3% | -67.9% | 0.60 | 0.30 | 12.7x | 58 | 27% |
| SMA 크로스오버 fast=10, slow=240 |
20.4% | -67.1% | 0.59 | 0.30 | 12.8x | 27 | 38% |
| ADX / DI 방향성 period=27, threshold=34 |
16.7% | -44.7% | 0.58 | 0.37 | 8.4x | 14 | 6% |
| Parabolic SAR step=0.015, maxStep=0.28 |
17.0% | -83.7% | 0.53 | 0.20 | 8.7x | 204 | 45% |
| Supertrend period=8, mult=2 |
13.3% | -77.8% | 0.47 | 0.17 | 5.6x | 151 | 43% |
| MACD fast=27, slow=33, signal=31 |
12.0% | -84.7% | 0.45 | 0.14 | 4.7x | 116 | 47% |
| Buy and hold | 13.1% | -93.5% | 0.46 | 0.14 | 5.4x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 26 days