Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nordson Corporation backtest
10 trend-following strategies were compared on the full daily history of Nordson Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -74.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.2%, MDD -75.3%, Sharpe 0.51, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
12.2% | -75.3% | 0.51 | 0.16 | 206.3x | 9 | 100% |
| Donchian 채널 돌파 entryN=6, exitN=81 |
10.7% | -68.0% | 0.49 | 0.16 | 112.8x | 145 | 88% |
| Parabolic SAR step=0.01, maxStep=0.1 |
8.0% | -72.6% | 0.44 | 0.11 | 35.0x | 543 | 56% |
| 볼린저 밴드 돌파 n=33, k=3.4 |
3.5% | -39.8% | 0.42 | 0.09 | 5.0x | 54 | 10% |
| Supertrend period=8, mult=2.9 |
6.9% | -60.9% | 0.40 | 0.11 | 22.2x | 262 | 59% |
| ADX / DI 방향성 period=21, threshold=35 |
3.6% | -44.0% | 0.35 | 0.08 | 5.1x | 92 | 16% |
| SMA 크로스오버 fast=52, slow=83 |
5.4% | -56.7% | 0.34 | 0.10 | 11.6x | 155 | 60% |
| EMA 크로스오버 fast=38, slow=115 |
4.8% | -73.0% | 0.32 | 0.07 | 8.8x | 113 | 63% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=2.7 |
2.7% | -51.4% | 0.24 | 0.05 | 3.4x | 158 | 33% |
| MACD fast=18, slow=90, signal=14 |
0.6% | -81.7% | 0.14 | 0.01 | 1.3x | 525 | 52% |
| Buy and hold | 12.1% | -74.1% | 0.51 | 0.16 | 201.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below