Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Nexans SA backtest
10 trend-following strategies were compared on the full daily history of Nexans SA. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.1%, MDD -45.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -81.2%).
Sharpe leader (same as main): Supertrend — CAGR 11.1%, MDD -45.1%, Sharpe 0.54, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 11.1%, MDD -45.1%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.3 |
11.1% | -45.1% | 0.54 | 0.25 | 14.0x | 98 | 54% |
| Donchian 채널 돌파 entryN=21, exitN=28 |
9.4% | -55.1% | 0.46 | 0.17 | 9.6x | 108 | 63% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=2.4 |
7.1% | -45.4% | 0.44 | 0.16 | 5.6x | 120 | 39% |
| EMA 크로스오버 fast=54, slow=240 |
8.3% | -65.6% | 0.43 | 0.13 | 7.3x | 21 | 60% |
| ADX / DI 방향성 period=32, threshold=21 |
4.2% | -32.7% | 0.41 | 0.13 | 2.8x | 46 | 13% |
| SMA 크로스오버 fast=6, slow=190 |
6.1% | -60.0% | 0.35 | 0.10 | 4.4x | 80 | 59% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
2.5% | -23.3% | 0.35 | 0.11 | 1.9x | 22 | 5% |
| MACD fast=26, slow=47, signal=36 |
5.8% | -63.8% | 0.34 | 0.09 | 4.1x | 186 | 54% |
| ROC 모멘텀 n=126, threshold=0.04 |
4.4% | -72.4% | 0.29 | 0.06 | 2.9x | 248 | 53% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-2.8% | -87.2% | 0.03 | -0.03 | 0.5x | 454 | 55% |
| Buy and hold | 6.6% | -81.2% | 0.36 | 0.08 | 4.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)