Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nike, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nike, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.2%, MDD -52.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -52.4%, Sharpe 0.58, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 24.6%p (CAGR 12.2%, MDD -52.4%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=251 |
12.2% | -52.4% | 0.58 | 0.23 | 194.9x | 44 | 65% |
| 볼린저 밴드 돌파 n=77, k=1.3 |
9.1% | -45.7% | 0.53 | 0.20 | 52.3x | 166 | 48% |
| Keltner 채널 돌파 emaPeriod=132, atrPeriod=21, mult=2.4 |
9.1% | -44.4% | 0.52 | 0.21 | 53.7x | 124 | 52% |
| EMA 크로스오버 fast=29, slow=181 |
10.2% | -68.1% | 0.52 | 0.15 | 83.4x | 64 | 64% |
| ROC 모멘텀 n=143, threshold=-0.1 |
11.0% | -76.7% | 0.51 | 0.14 | 119.5x | 216 | 78% |
| Donchian 채널 돌파 entryN=59, exitN=59 |
8.9% | -58.7% | 0.48 | 0.15 | 48.4x | 92 | 58% |
| Supertrend period=16, mult=4.9 |
8.5% | -58.6% | 0.47 | 0.14 | 41.3x | 150 | 58% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.5% | -77.0% | 0.26 | 0.05 | 4.7x | 382 | 57% |
| ADX / DI 방향성 period=16, threshold=18 |
2.7% | -74.1% | 0.23 | 0.04 | 3.4x | 578 | 43% |
| MACD fast=14, slow=36, signal=16 |
2.6% | -71.6% | 0.23 | 0.04 | 3.3x | 593 | 51% |
| Buy and hold | 12.7% | -77.0% | 0.52 | 0.16 | 230.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 251-day average
- Sell — Sell (to cash) when the 56-day average falls below the 251-day average