Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Dyno Nobel Limited backtest

10 trend-following strategies were compared on the full daily history of Dyno Nobel Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.9%, MDD -48.3%).

Data 2003-07-25 ~ 2026-07-31daily bars 5,833 (23.0 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 8.1%, drawdown -81.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -48.3%, Sharpe 0.57, 49% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 10.9%, MDD -48.3%, exposure 49%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=115, exitN=81
10.9%-48.3%0.570.2310.9x2749%
SMA 크로스오버
fast=28, slow=192
10.5%-48.5%0.540.2210.0x4153%
EMA 크로스오버
fast=17, slow=124
9.9%-58.2%0.520.178.8x5954%
ROC 모멘텀
n=109, threshold=0.09
5.9%-71.4%0.370.083.7x17737%
ADX / DI 방향성
period=36, threshold=17
4.6%-42.1%0.370.112.8x6022%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=25, mult=2.5
4.9%-44.1%0.350.113.0x9436%
MACD
fast=54, slow=93, signal=30
5.7%-59.8%0.350.103.6x11255%
Supertrend
period=16, mult=5
5.1%-60.6%0.340.083.2x6748%
볼린저 밴드 돌파
n=44, k=3.1
3.0%-26.6%0.320.112.0x3614%
Parabolic SAR
step=0.01, maxStep=0.36
-0.6%-85.2%0.09-0.010.9x29453%
Buy and hold8.1%-81.5%0.400.106.0x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -41% -61% -81% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -48.3% (2008-06-19 → 2021-01-04), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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