Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nexxen International Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nexxen International Ltd.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.7%, MDD -23.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.4%, drawdown -86.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.7%, MDD -23.6%, Sharpe 0.81, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.3%, MDD -34.4%, exposure 34%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.1%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 12.7%, MDD -23.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=3 |
12.7% | -23.6% | 0.81 | 0.54 | 1.8x | 7 | 18% |
| Donchian 채널 돌파 entryN=93, exitN=74 |
15.3% | -34.4% | 0.62 | 0.45 | 2.1x | 3 | 34% |
| EMA 크로스오버 fast=47, slow=177 |
14.4% | -33.4% | 0.59 | 0.43 | 2.0x | 3 | 33% |
| ROC 모멘텀 n=111, threshold=0.11 |
11.8% | -31.2% | 0.57 | 0.38 | 1.8x | 33 | 31% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=2.4 |
10.0% | -39.8% | 0.55 | 0.25 | 1.6x | 17 | 29% |
| ADX / DI 방향성 period=20, threshold=20 |
7.4% | -27.7% | 0.44 | 0.27 | 1.4x | 25 | 26% |
| SMA 크로스오버 fast=7, slow=200 |
6.6% | -36.0% | 0.36 | 0.18 | 1.4x | 13 | 36% |
| MACD fast=17, slow=43, signal=28 |
5.7% | -60.3% | 0.34 | 0.09 | 1.3x | 41 | 52% |
| Supertrend period=20, mult=5 |
2.6% | -52.4% | 0.24 | 0.05 | 1.1x | 13 | 43% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-19.4% | -77.8% | -0.43 | -0.25 | 0.3x | 97 | 52% |
| Buy and hold | -10.4% | -86.3% | 0.09 | -0.12 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (3× volatility)
- Sell — Sell when the close falls back to the 41-day middle average