Trend-Following Backtester · Guide · backtest 한국어
equity · DK
NKT A/S backtest
10 trend-following strategies were compared on the full daily history of NKT A/S. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.7%, MDD -47.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.3%, drawdown -86.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -54.1%, Sharpe 0.69, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 15.7%, MDD -47.3%, exposure 64%).
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=87, exitN=79 |
16.2% | -54.1% | 0.69 | 0.30 | 44.6x | 27 | 63% |
| EMA 크로스오버 fast=59, slow=147 |
15.8% | -52.6% | 0.69 | 0.30 | 40.5x | 25 | 64% |
| SMA 크로스오버 fast=18, slow=188 |
15.7% | -47.3% | 0.68 | 0.33 | 39.7x | 39 | 64% |
| ROC 모멘텀 n=143, threshold=-0.01 |
13.2% | -58.2% | 0.60 | 0.23 | 22.7x | 133 | 64% |
| 볼린저 밴드 돌파 n=61, k=2.7 |
9.5% | -44.1% | 0.60 | 0.21 | 9.8x | 54 | 29% |
| Parabolic SAR step=0.02, maxStep=0.02 |
13.0% | -50.9% | 0.60 | 0.26 | 22.0x | 142 | 59% |
| Supertrend period=17, mult=4.9 |
11.2% | -47.9% | 0.54 | 0.23 | 14.7x | 80 | 58% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=13, mult=2.7 |
8.1% | -53.6% | 0.47 | 0.15 | 7.2x | 98 | 42% |
| ADX / DI 방향성 period=33, threshold=17 |
7.0% | -28.3% | 0.47 | 0.25 | 5.5x | 120 | 27% |
| MACD fast=19, slow=41, signal=22 |
0.8% | -78.4% | 0.16 | 0.01 | 1.2x | 266 | 50% |
| Buy and hold | 10.3% | -86.7% | 0.45 | 0.12 | 12.0x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 79 days