Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Nextdc Limited backtest
10 trend-following strategies were compared on the full daily history of Nextdc Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -48.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -41.4%, Sharpe 0.55, 59% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=201 |
11.7% | -41.4% | 0.55 | 0.28 | 5.7x | 27 | 59% |
| Donchian 채널 돌파 entryN=14, exitN=52 |
11.5% | -41.9% | 0.51 | 0.27 | 5.5x | 48 | 78% |
| ROC 모멘텀 n=92, threshold=0.12 |
5.9% | -31.7% | 0.38 | 0.19 | 2.4x | 124 | 35% |
| EMA 크로스오버 fast=33, slow=47 |
6.4% | -54.8% | 0.37 | 0.12 | 2.6x | 62 | 58% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
4.0% | -39.9% | 0.31 | 0.10 | 1.9x | 46 | 30% |
| Supertrend period=34, mult=4.1 |
4.7% | -55.8% | 0.30 | 0.08 | 2.0x | 66 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=3.2 |
3.2% | -30.6% | 0.27 | 0.11 | 1.6x | 46 | 29% |
| ADX / DI 방향성 period=36, threshold=18 |
2.2% | -26.8% | 0.22 | 0.08 | 1.4x | 42 | 19% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.7% | -70.2% | 0.19 | 0.02 | 1.3x | 130 | 54% |
| MACD fast=19, slow=48, signal=19 |
-2.8% | -73.2% | -0.01 | -0.04 | 0.6x | 180 | 50% |
| Buy and hold | 14.8% | -48.4% | 0.57 | 0.31 | 8.6x | 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 201-day average
- Sell — Sell (to cash) when the 56-day average falls below the 201-day average