Trend-Following Backtester · Guide · backtest 한국어
equity · AU
NRW Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of NRW Holdings Limited. 10 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 25.4%, MDD -32.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.2%, drawdown -98.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.4%, MDD -32.5%, Sharpe 0.80, 37% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 25.9%, MDD -50.9%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 25.4%, MDD -32.5%, exposure 37%).
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=57, exitN=19 |
25.4% | -32.5% | 0.80 | 0.78 | 74.0x | 57 | 37% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
25.5% | -46.7% | 0.77 | 0.55 | 74.5x | 79 | 41% |
| ROC 모멘텀 n=69, threshold=0.07 |
25.9% | -50.9% | 0.76 | 0.51 | 78.8x | 175 | 46% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=23, mult=2.2 |
23.2% | -49.1% | 0.73 | 0.47 | 52.3x | 69 | 41% |
| Supertrend period=22, mult=5 |
22.1% | -71.9% | 0.68 | 0.31 | 44.5x | 51 | 54% |
| SMA 크로스오버 fast=29, slow=47 |
21.4% | -79.3% | 0.66 | 0.27 | 39.7x | 95 | 54% |
| EMA 크로스오버 fast=48, slow=174 |
20.0% | -62.5% | 0.65 | 0.32 | 31.6x | 17 | 56% |
| MACD fast=31, slow=61, signal=6 |
25.2% | -80.2% | 0.58 | 0.31 | 71.7x | 213 | 52% |
| ADX / DI 방향성 period=11, threshold=16 |
20.9% | -77.0% | 0.53 | 0.27 | 36.6x | 365 | 49% |
| Parabolic SAR step=0.015, maxStep=0.38 |
15.3% | -69.7% | 0.45 | 0.22 | 14.9x | 309 | 52% |
| Buy and hold | 6.2% | -98.9% | 0.39 | 0.06 | 3.1x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 19 days