Trend-Following Backtester · Guide · backtest 한국어
equity · CA
NexGen Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of NexGen Energy Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 35.3%, drawdown -81.0%).
Sharpe leader (same as main): Supertrend — CAGR 30.2%, MDD -75.2%, Sharpe 0.77, 66% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.8 |
30.2% | -75.2% | 0.77 | 0.40 | 24.2x | 30 | 66% |
| ADX / DI 방향성 period=61, threshold=13 |
24.2% | -34.9% | 0.76 | 0.69 | 13.7x | 22 | 34% |
| SMA 크로스오버 fast=37, slow=106 |
24.8% | -56.5% | 0.71 | 0.44 | 14.5x | 34 | 55% |
| Donchian 채널 돌파 entryN=43, exitN=30 |
23.4% | -67.4% | 0.69 | 0.35 | 12.7x | 32 | 52% |
| EMA 크로스오버 fast=33, slow=89 |
20.9% | -66.6% | 0.64 | 0.31 | 9.9x | 26 | 58% |
| ROC 모멘텀 n=83, threshold=0.01 |
21.0% | -66.6% | 0.64 | 0.31 | 10.0x | 130 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.2 |
15.8% | -47.5% | 0.61 | 0.33 | 5.9x | 30 | 26% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
15.4% | -60.0% | 0.55 | 0.26 | 5.6x | 70 | 40% |
| Parabolic SAR step=0.01, maxStep=0.24 |
9.4% | -70.4% | 0.42 | 0.13 | 3.0x | 160 | 49% |
| MACD fast=16, slow=55, signal=7 |
3.3% | -75.7% | 0.29 | 0.04 | 1.5x | 203 | 47% |
| Buy and hold | 35.3% | -81.0% | 0.79 | 0.44 | 38.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)