Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Nanobiotix SA backtest
10 trend-following strategies were compared on the full daily history of Nanobiotix SA. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.6%, MDD -44.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.2%, drawdown -93.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.5%, MDD -53.4%, Sharpe 0.76, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.3%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 16.6%, MDD -44.7%, exposure 6%).
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=118, exitN=26 |
29.5% | -53.4% | 0.76 | 0.55 | 35.7x | 13 | 21% |
| ROC 모멘텀 n=120, threshold=0.03 |
25.6% | -76.7% | 0.67 | 0.33 | 23.5x | 113 | 38% |
| 볼린저 밴드 돌파 n=55, k=2 |
20.9% | -71.7% | 0.60 | 0.29 | 13.8x | 43 | 26% |
| EMA 크로스오버 fast=53, slow=158 |
20.9% | -60.4% | 0.60 | 0.35 | 13.8x | 15 | 39% |
| SMA 크로스오버 fast=10, slow=240 |
20.5% | -67.1% | 0.59 | 0.31 | 13.2x | 27 | 39% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=1.8 |
19.3% | -67.9% | 0.58 | 0.28 | 11.5x | 59 | 27% |
| ADX / DI 방향성 period=27, threshold=34 |
16.6% | -44.7% | 0.57 | 0.37 | 8.4x | 14 | 6% |
| Parabolic SAR step=0.015, maxStep=0.28 |
17.1% | -83.7% | 0.53 | 0.20 | 8.9x | 205 | 46% |
| Supertrend period=8, mult=2 |
13.4% | -77.8% | 0.47 | 0.17 | 5.7x | 151 | 44% |
| MACD fast=27, slow=33, signal=31 |
11.1% | -84.7% | 0.43 | 0.13 | 4.3x | 117 | 47% |
| Buy and hold | 13.2% | -93.5% | 0.47 | 0.14 | 5.6x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 26 days