Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Nokian Renkaat Oyj backtest
10 trend-following strategies were compared on the full daily history of Nokian Renkaat Oyj. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -52.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -85.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -52.0%, Sharpe 0.61, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 12.5%, MDD -52.0%, exposure 53%).
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=93, exitN=75 |
12.5% | -52.0% | 0.61 | 0.24 | 22.7x | 31 | 53% |
| SMA 크로스오버 fast=24, slow=120 |
11.9% | -63.1% | 0.56 | 0.19 | 19.6x | 65 | 57% |
| EMA 크로스오버 fast=27, slow=133 |
10.9% | -58.7% | 0.54 | 0.19 | 15.6x | 47 | 58% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
3.3% | -31.1% | 0.38 | 0.11 | 2.4x | 24 | 11% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=12, mult=3.7 |
3.7% | -29.4% | 0.36 | 0.12 | 2.6x | 55 | 15% |
| ROC 모멘텀 n=95, threshold=0.07 |
5.7% | -75.9% | 0.36 | 0.08 | 4.4x | 235 | 45% |
| Supertrend period=15, mult=3.8 |
4.0% | -70.4% | 0.28 | 0.06 | 2.8x | 139 | 57% |
| ADX / DI 방향성 period=50, threshold=13 |
1.7% | -55.2% | 0.19 | 0.03 | 1.6x | 93 | 25% |
| MACD fast=17, slow=50, signal=19 |
-0.6% | -93.4% | 0.11 | -0.01 | 0.9x | 291 | 53% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-7.9% | -97.8% | -0.15 | -0.08 | 0.1x | 705 | 52% |
| Buy and hold | 5.2% | -85.4% | 0.32 | 0.06 | 3.8x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 75 days