Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nexa Resources S.A. backtest
10 trend-following strategies were compared on the full daily history of Nexa Resources S.A.. 8 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 8.1%, MDD -22.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.8%, drawdown -87.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.1%, MDD -22.9%, Sharpe 0.72, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 8.1%, MDD -22.9%, exposure 3%).
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=23, threshold=39 |
8.1% | -22.9% | 0.72 | 0.35 | 2.0x | 2 | 3% |
| ROC 모멘텀 n=132, threshold=0.19 |
5.9% | -38.9% | 0.34 | 0.15 | 1.7x | 46 | 23% |
| Donchian 채널 돌파 entryN=69, exitN=70 |
5.2% | -62.9% | 0.34 | 0.08 | 1.6x | 11 | 51% |
| Supertrend period=23, mult=3.2 |
4.4% | -60.1% | 0.31 | 0.07 | 1.5x | 45 | 49% |
| 볼린저 밴드 돌파 n=22, k=3 |
2.8% | -45.2% | 0.25 | 0.06 | 1.3x | 20 | 8% |
| EMA 크로스오버 fast=12, slow=66 |
-1.9% | -63.7% | 0.16 | -0.03 | 0.8x | 41 | 45% |
| SMA 크로스오버 fast=28, slow=60 |
-2.7% | -63.4% | 0.14 | -0.04 | 0.8x | 37 | 47% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=10, mult=3.4 |
0.7% | -35.0% | 0.13 | 0.02 | 1.1x | 14 | 8% |
| MACD fast=11, slow=48, signal=13 |
-5.8% | -71.2% | 0.07 | -0.08 | 0.6x | 135 | 50% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-7.6% | -81.3% | 0.03 | -0.09 | 0.5x | 246 | 50% |
| Buy and hold | -2.8% | -87.2% | 0.25 | -0.03 | 0.8x | 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, 23-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)