Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Nazara Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nazara Technologies Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.9%, MDD -22.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.4%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.8%, MDD -47.6%, Sharpe 0.76, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 13.9%, MDD -22.8%, exposure 18%).
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=22, exitN=35 |
21.8% | -47.6% | 0.76 | 0.46 | 2.9x | 15 | 60% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
13.9% | -22.8% | 0.74 | 0.61 | 2.0x | 12 | 18% |
| Supertrend period=15, mult=5 |
18.5% | -40.6% | 0.69 | 0.46 | 2.5x | 13 | 58% |
| ROC 모멘텀 n=59, threshold=0.12 |
13.4% | -36.8% | 0.69 | 0.36 | 2.0x | 47 | 31% |
| ADX / DI 방향성 period=17, threshold=15 |
14.6% | -44.2% | 0.62 | 0.33 | 2.1x | 59 | 46% |
| MACD fast=13, slow=42, signal=22 |
14.8% | -56.1% | 0.61 | 0.26 | 2.1x | 44 | 49% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=1.9 |
12.6% | -43.9% | 0.59 | 0.29 | 1.9x | 29 | 35% |
| EMA 크로스오버 fast=57, slow=99 |
12.0% | -41.2% | 0.55 | 0.29 | 1.8x | 9 | 50% |
| SMA 크로스오버 fast=25, slow=78 |
12.2% | -32.8% | 0.55 | 0.37 | 1.8x | 17 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.2% | -54.3% | 0.04 | -0.06 | 0.8x | 82 | 50% |
| Buy and hold | 10.4% | -69.7% | 0.44 | 0.15 | 1.7x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 35 days