Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Nordex SE backtest
10 trend-following strategies were compared on the full daily history of Nordex SE. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.0%, MDD -53.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -58.9%, Sharpe 0.66, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 14.0%, MDD -53.5%, exposure 32%).
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=100, exitN=21 |
14.9% | -58.9% | 0.66 | 0.25 | 33.9x | 44 | 24% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.6 |
14.5% | -56.1% | 0.64 | 0.26 | 30.7x | 56 | 24% |
| 볼린저 밴드 돌파 n=45, k=2 |
14.0% | -53.5% | 0.59 | 0.26 | 27.5x | 106 | 32% |
| EMA 크로스오버 fast=53, slow=189 |
14.7% | -67.9% | 0.58 | 0.22 | 32.4x | 25 | 39% |
| ROC 모멘텀 n=100, threshold=0.13 |
13.2% | -69.5% | 0.54 | 0.19 | 23.3x | 176 | 36% |
| Supertrend period=22, mult=4.2 |
13.7% | -71.6% | 0.52 | 0.19 | 25.9x | 90 | 47% |
| SMA 크로스오버 fast=11, slow=142 |
12.6% | -66.4% | 0.51 | 0.19 | 20.0x | 60 | 44% |
| Parabolic SAR step=0.015, maxStep=0.36 |
8.3% | -80.4% | 0.39 | 0.10 | 7.5x | 417 | 50% |
| MACD fast=7, slow=39, signal=6 |
2.8% | -81.2% | 0.27 | 0.03 | 2.0x | 650 | 51% |
| ADX / DI 방향성 period=31, threshold=26 |
3.1% | -56.9% | 0.26 | 0.05 | 2.2x | 34 | 6% |
| Buy and hold | -2.4% | -98.6% | 0.24 | -0.02 | 0.5x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 21 days