Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NEXON Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of NEXON Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -42.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -58.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -49.7%, Sharpe 0.49, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 8.4%p (CAGR 10.2%, MDD -42.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=52, exitN=57 |
11.0% | -49.7% | 0.49 | 0.22 | 4.6x | 25 | 59% |
| SMA 크로스오버 fast=37, slow=102 |
10.2% | -42.4% | 0.47 | 0.24 | 4.2x | 29 | 54% |
| EMA 크로스오버 fast=29, slow=115 |
6.9% | -54.1% | 0.38 | 0.13 | 2.7x | 35 | 57% |
| ROC 모멘텀 n=112, threshold=0.05 |
6.7% | -55.9% | 0.37 | 0.12 | 2.6x | 124 | 51% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
3.7% | -36.7% | 0.29 | 0.10 | 1.7x | 45 | 31% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=18, mult=3.4 |
2.2% | -21.2% | 0.28 | 0.10 | 1.4x | 27 | 9% |
| ADX / DI 방향성 period=38, threshold=16 |
2.7% | -30.5% | 0.24 | 0.09 | 1.5x | 49 | 22% |
| Supertrend period=29, mult=2.1 |
1.6% | -61.9% | 0.20 | 0.03 | 1.3x | 175 | 54% |
| MACD fast=15, slow=27, signal=22 |
-4.4% | -77.4% | -0.02 | -0.06 | 0.5x | 175 | 52% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-4.9% | -77.0% | -0.04 | -0.06 | 0.5x | 289 | 51% |
| Buy and hold | 11.5% | -58.2% | 0.48 | 0.20 | 5.0x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 57 days