Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nutanix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nutanix, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -8.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -80.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -8.0%, Sharpe 0.61, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.8%, MDD -59.6%, exposure 69%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 72.4%p (CAGR 4.1%, MDD -8.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=35 |
4.1% | -8.0% | 0.61 | 0.52 | 1.5x | 4 | 4% |
| ROC 모멘텀 n=74, threshold=0.14 |
13.8% | -50.8% | 0.58 | 0.27 | 3.6x | 81 | 40% |
| 볼린저 밴드 돌파 n=74, k=3.5 |
8.5% | -35.1% | 0.56 | 0.24 | 2.2x | 9 | 17% |
| Donchian 채널 돌파 entryN=25, exitN=63 |
15.8% | -59.6% | 0.56 | 0.27 | 4.2x | 25 | 69% |
| Supertrend period=12, mult=3.8 |
14.4% | -68.5% | 0.53 | 0.21 | 3.8x | 39 | 56% |
| MACD fast=7, slow=12, signal=10 |
12.0% | -67.1% | 0.49 | 0.18 | 3.0x | 251 | 53% |
| SMA 크로스오버 fast=10, slow=131 |
10.8% | -61.7% | 0.47 | 0.17 | 2.7x | 21 | 54% |
| EMA 크로스오버 fast=56, slow=64 |
5.3% | -73.5% | 0.33 | 0.07 | 1.7x | 21 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2.9 |
1.7% | -63.2% | 0.21 | 0.03 | 1.2x | 37 | 37% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-2.7% | -75.3% | 0.11 | -0.04 | 0.8x | 247 | 54% |
| Buy and hold | 4.8% | -80.4% | 0.37 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)