Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Nokia Oyj backtest
10 trend-following strategies were compared on the full daily history of Nokia Oyj. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.2%, MDD -22.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.5%, drawdown -97.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.2%, MDD -22.6%, Sharpe 0.27, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.4%, MDD -59.4%, exposure 29%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 75.3%p (CAGR 2.2%, MDD -22.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=24, mult=3.5 |
2.2% | -22.6% | 0.27 | 0.10 | 1.8x | 20 | 3% |
| ADX / DI 방향성 period=20, threshold=34 |
2.2% | -26.6% | 0.27 | 0.08 | 1.8x | 26 | 4% |
| Donchian 채널 돌파 entryN=106, exitN=44 |
2.4% | -59.4% | 0.21 | 0.04 | 1.9x | 40 | 29% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
1.8% | -35.4% | 0.20 | 0.05 | 1.6x | 58 | 12% |
| Supertrend period=11, mult=4.7 |
1.6% | -78.3% | 0.20 | 0.02 | 1.5x | 94 | 48% |
| SMA 크로스오버 fast=38, slow=154 |
-0.4% | -71.3% | 0.11 | -0.00 | 0.9x | 51 | 45% |
| EMA 크로스오버 fast=52, slow=179 |
-0.1% | -61.9% | 0.11 | -0.00 | 1.0x | 37 | 39% |
| ROC 모멘텀 n=29, threshold=0.21 |
-0.4% | -46.4% | 0.04 | -0.01 | 0.9x | 150 | 6% |
| MACD fast=12, slow=27, signal=16 |
-8.0% | -96.9% | -0.12 | -0.08 | 0.1x | 406 | 52% |
| Parabolic SAR step=0.04, maxStep=0.04 |
-8.3% | -97.3% | -0.15 | -0.09 | 0.1x | 318 | 51% |
| Buy and hold | -6.5% | -97.9% | 0.06 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average