Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Nestle S.A. backtest
10 trend-following strategies were compared on the full daily history of Nestle S.A.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -33.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -45.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -33.0%, Sharpe 0.43, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.1%, MDD -45.2%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 12.2%p (CAGR 5.7%, MDD -33.0%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=138, slow=396 |
5.7% | -33.0% | 0.43 | 0.17 | 7.7x | 14 | 75% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.07 |
6.1% | -45.2% | 0.41 | 0.14 | 8.7x | 5 | 100% |
| Donchian 채널 돌파 entryN=96, exitN=75 |
3.2% | -38.1% | 0.32 | 0.08 | 3.1x | 59 | 54% |
| SMA 크로스오버 fast=45, slow=141 |
3.2% | -49.4% | 0.31 | 0.07 | 3.2x | 73 | 60% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
0.9% | -26.4% | 0.16 | 0.04 | 1.4x | 80 | 22% |
| ADX / DI 방향성 period=32, threshold=18 |
0.7% | -32.9% | 0.13 | 0.02 | 1.3x | 102 | 16% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=3.9 |
0.3% | -36.0% | 0.08 | 0.01 | 1.1x | 106 | 18% |
| Supertrend period=11, mult=5 |
0.2% | -57.4% | 0.07 | 0.00 | 1.1x | 203 | 54% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -89.4% | -0.27 | -0.05 | 0.2x | 332 | 55% |
| MACD fast=19, slow=45, signal=19 |
-5.3% | -91.7% | -0.38 | -0.06 | 0.1x | 434 | 50% |
| Buy and hold | 6.2% | -45.2% | 0.41 | 0.14 | 8.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 138-day EMA crosses above the 396-day EMA
- Sell — Sell when the 138-day EMA falls below the 396-day EMA