Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Nexity SA backtest
10 trend-following strategies were compared on the full daily history of Nexity SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -92.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.6%, MDD -49.3%, Sharpe 0.35, 29% exposure.
CAGR reference leader: Supertrend — CAGR 5.5%, MDD -57.7%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 1.8%, MDD -48.5%, exposure 34%).
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=24, atrPeriod=21, mult=1.9 |
4.6% | -49.3% | 0.35 | 0.09 | 2.7x | 140 | 29% |
| Supertrend period=25, mult=2.4 |
5.5% | -57.7% | 0.34 | 0.09 | 3.2x | 208 | 51% |
| SMA 크로스오버 fast=53, slow=88 |
5.3% | -69.5% | 0.34 | 0.08 | 3.1x | 62 | 50% |
| Donchian 채널 돌파 entryN=34, exitN=42 |
3.8% | -74.8% | 0.27 | 0.05 | 2.3x | 74 | 57% |
| Parabolic SAR step=0.015, maxStep=0.22 |
3.0% | -80.2% | 0.24 | 0.04 | 1.9x | 384 | 51% |
| EMA 크로스오버 fast=42, slow=64 |
2.7% | -75.8% | 0.23 | 0.04 | 1.8x | 54 | 52% |
| ROC 모멘텀 n=75, threshold=0.12 |
2.3% | -62.4% | 0.22 | 0.04 | 1.6x | 156 | 27% |
| ADX / DI 방향성 period=38, threshold=13 |
1.8% | -48.5% | 0.19 | 0.04 | 1.5x | 168 | 34% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
1.5% | -58.1% | 0.18 | 0.03 | 1.4x | 94 | 18% |
| MACD fast=10, slow=15, signal=19 |
-1.0% | -86.3% | 0.08 | -0.01 | 0.8x | 392 | 50% |
| Buy and hold | -4.1% | -92.3% | 0.07 | -0.04 | 0.4x | 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 24-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 24-day average