Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nucor Corporation backtest
10 trend-following strategies were compared on the full daily history of Nucor Corporation. 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 13.2%, drawdown -68.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -66.1%, Sharpe 0.48, 73% exposure.
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=27, exitN=63 |
10.0% | -66.1% | 0.48 | 0.15 | 84.1x | 111 | 73% |
| SMA 크로스오버 fast=51, slow=117 |
7.2% | -59.3% | 0.40 | 0.12 | 25.4x | 103 | 61% |
| EMA 크로스오버 fast=70, slow=186 |
5.9% | -76.2% | 0.35 | 0.08 | 14.4x | 59 | 63% |
| ROC 모멘텀 n=113, threshold=-0.03 |
5.4% | -72.0% | 0.33 | 0.08 | 11.7x | 365 | 67% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
3.6% | -60.9% | 0.31 | 0.06 | 5.2x | 208 | 25% |
| Supertrend period=16, mult=4.9 |
4.1% | -78.1% | 0.29 | 0.05 | 6.6x | 179 | 57% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=25, mult=2.5 |
2.0% | -55.8% | 0.20 | 0.04 | 2.6x | 262 | 33% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.9% | -89.7% | 0.16 | 0.01 | 1.5x | 415 | 55% |
| ADX / DI 방향성 period=21, threshold=12 |
0.3% | -89.0% | 0.12 | 0.00 | 1.1x | 701 | 48% |
| MACD fast=29, slow=59, signal=16 |
-0.3% | -87.0% | 0.11 | -0.00 | 0.9x | 448 | 51% |
| Buy and hold | 13.2% | -68.9% | 0.52 | 0.19 | 311.7x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 63 days