Trend-Following Backtester · Guide · backtest 한국어
etf · GB
NextEnergy Solar Fund Ltd backtest
10 trend-following strategies were compared on the full daily history of NextEnergy Solar Fund Ltd. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -5.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.8%, drawdown -65.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.7%, MDD -9.5%, Sharpe 0.17, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 0.2%, MDD -5.3%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=140, exitN=24 |
0.7% | -9.5% | 0.17 | 0.08 | 1.1x | 14 | 18% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
0.2% | -5.3% | 0.11 | 0.03 | 1.0x | 2 | 3% |
| ROC 모멘텀 n=128, threshold=0.14 |
-0.0% | -7.8% | -0.00 | -0.00 | 1.0x | 8 | 2% |
| EMA 크로스오버 fast=65, slow=195 |
-0.7% | -25.5% | -0.04 | -0.03 | 0.9x | 12 | 37% |
| SMA 크로스오버 fast=52, slow=157 |
-1.0% | -30.0% | -0.05 | -0.03 | 0.9x | 22 | 42% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=11, mult=3.6 |
-0.5% | -7.5% | -0.19 | -0.07 | 0.9x | 10 | 4% |
| ADX / DI 방향성 period=19, threshold=27 |
-1.6% | -26.3% | -0.27 | -0.06 | 0.8x | 38 | 13% |
| Supertrend period=15, mult=4.9 |
-3.3% | -41.2% | -0.30 | -0.08 | 0.7x | 26 | 46% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.9% | -52.8% | -0.38 | -0.09 | 0.5x | 85 | 49% |
| MACD fast=18, slow=58, signal=22 |
-8.2% | -68.8% | -0.61 | -0.12 | 0.4x | 119 | 51% |
| Buy and hold | -5.8% | -65.3% | -0.24 | -0.09 | 0.5x | 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 140 days
- Sell — Sell when price breaks below the lowest low of the last 24 days