Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nu Skin Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nu Skin Enterprises, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -36.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.6%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -48.0%, Sharpe 0.49, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 5.5%, MDD -36.5%, exposure 15%).
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=85, exitN=26 |
8.3% | -48.0% | 0.49 | 0.17 | 10.7x | 58 | 27% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
6.3% | -40.8% | 0.47 | 0.15 | 6.2x | 34 | 15% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=4 |
5.5% | -36.5% | 0.41 | 0.15 | 4.9x | 48 | 15% |
| ADX / DI 방향성 period=22, threshold=26 |
4.9% | -49.8% | 0.36 | 0.10 | 4.1x | 86 | 15% |
| SMA 크로스오버 fast=46, slow=188 |
4.6% | -61.8% | 0.30 | 0.07 | 3.8x | 44 | 45% |
| EMA 크로스오버 fast=44, slow=191 |
4.5% | -65.8% | 0.30 | 0.07 | 3.7x | 40 | 46% |
| ROC 모멘텀 n=106, threshold=0.04 |
2.6% | -64.4% | 0.23 | 0.04 | 2.2x | 228 | 41% |
| Supertrend period=25, mult=4 |
1.1% | -80.9% | 0.19 | 0.01 | 1.4x | 136 | 49% |
| MACD fast=20, slow=39, signal=18 |
-3.1% | -87.8% | 0.07 | -0.04 | 0.4x | 333 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-3.8% | -87.1% | 0.04 | -0.04 | 0.3x | 383 | 50% |
| Buy and hold | -5.6% | -96.4% | 0.12 | -0.06 | 0.2x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 26 days