Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Mercury NZ Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mercury NZ Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -32.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -29.6%, Sharpe 0.34, 43% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.3%, MDD -35.2%, exposure 56%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, exitN=35 |
4.2% | -29.6% | 0.34 | 0.14 | 1.7x | 29 | 43% |
| SMA 크로스오버 fast=58, slow=125 |
4.3% | -35.2% | 0.32 | 0.12 | 1.7x | 27 | 56% |
| EMA 크로스오버 fast=47, slow=80 |
3.5% | -38.7% | 0.28 | 0.09 | 1.6x | 35 | 61% |
| ADX / DI 방향성 period=32, threshold=16 |
2.0% | -22.4% | 0.25 | 0.09 | 1.3x | 36 | 14% |
| ROC 모멘텀 n=80, threshold=0.22 |
1.1% | -26.8% | 0.18 | 0.04 | 1.2x | 26 | 7% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=4 |
0.9% | -26.4% | 0.14 | 0.03 | 1.1x | 18 | 15% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
0.7% | -17.8% | 0.13 | 0.04 | 1.1x | 12 | 6% |
| Supertrend period=20, mult=4.9 |
0.7% | -50.0% | 0.13 | 0.01 | 1.1x | 29 | 57% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.7% | -47.5% | -0.12 | -0.08 | 0.6x | 107 | 53% |
| MACD fast=17, slow=24, signal=19 |
-10.0% | -79.7% | -0.50 | -0.13 | 0.2x | 211 | 51% |
| Buy and hold | 8.0% | -32.4% | 0.43 | 0.25 | 2.8x | 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 73 days
- Sell — Sell when price breaks below the lowest low of the last 35 days