Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Nazara Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nazara Technologies 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 15.6%, MDD -22.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.2%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.6%, MDD -47.6%, Sharpe 0.81, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 15.6%, MDD -22.8%, exposure 20%).
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=22, exitN=35 |
23.6% | -47.6% | 0.81 | 0.50 | 3.2x | 15 | 61% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
15.6% | -22.8% | 0.80 | 0.68 | 2.2x | 13 | 20% |
| ROC 모멘텀 n=59, threshold=0.12 |
15.2% | -36.8% | 0.76 | 0.41 | 2.2x | 47 | 32% |
| Supertrend period=15, mult=5 |
20.3% | -40.6% | 0.74 | 0.50 | 2.7x | 13 | 59% |
| ADX / DI 방향성 period=17, threshold=15 |
16.3% | -44.2% | 0.67 | 0.37 | 2.3x | 59 | 47% |
| MACD fast=13, slow=42, signal=22 |
16.5% | -56.1% | 0.65 | 0.29 | 2.3x | 45 | 50% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=1.9 |
14.3% | -43.9% | 0.65 | 0.33 | 2.1x | 29 | 36% |
| EMA 크로스오버 fast=57, slow=99 |
13.8% | -41.2% | 0.61 | 0.33 | 2.0x | 9 | 51% |
| SMA 크로스오버 fast=25, slow=78 |
14.0% | -32.8% | 0.60 | 0.43 | 2.0x | 17 | 51% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-1.6% | -54.3% | 0.10 | -0.03 | 0.9x | 83 | 51% |
| Buy and hold | 12.2% | -69.7% | 0.48 | 0.17 | 1.9x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 35 days