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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 36.4%, drawdown -81.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.0%, MDD -34.9%, Sharpe 0.76, 34% exposure.
CAGR reference leader: Supertrend — CAGR 29.2%, MDD -75.2%, exposure 65%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=61, threshold=13 |
24.0% | -34.9% | 0.76 | 0.69 | 13.7x | 22 | 34% |
| Supertrend period=9, mult=4.8 |
29.2% | -75.2% | 0.76 | 0.39 | 22.5x | 31 | 65% |
| SMA 크로스오버 fast=37, slow=106 |
24.6% | -56.5% | 0.71 | 0.43 | 14.5x | 34 | 55% |
| Donchian 채널 돌파 entryN=43, exitN=30 |
23.3% | -67.4% | 0.69 | 0.34 | 12.7x | 32 | 52% |
| EMA 크로스오버 fast=33, slow=89 |
20.7% | -66.6% | 0.64 | 0.31 | 9.9x | 26 | 57% |
| ROC 모멘텀 n=83, threshold=0.01 |
20.8% | -66.6% | 0.63 | 0.31 | 10.0x | 130 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.2 |
15.7% | -47.5% | 0.61 | 0.33 | 5.9x | 30 | 26% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
15.0% | -60.0% | 0.54 | 0.25 | 5.5x | 71 | 40% |
| Parabolic SAR step=0.01, maxStep=0.24 |
10.4% | -70.4% | 0.44 | 0.15 | 3.3x | 161 | 50% |
| MACD fast=16, slow=55, signal=7 |
4.3% | -75.7% | 0.31 | 0.06 | 1.7x | 203 | 48% |
| Buy and hold | 36.4% | -81.0% | 0.81 | 0.45 | 43.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 61-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)