Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nutanix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nutanix, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.1%, MDD -35.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.4%, drawdown -80.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.1%, MDD -35.1%, Sharpe 0.64, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.4%, MDD -59.6%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 45.2%p (CAGR 10.1%, MDD -35.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=74, k=3.5 |
10.1% | -35.1% | 0.64 | 0.29 | 2.6x | 9 | 18% |
| ROC 모멘텀 n=74, threshold=0.14 |
15.5% | -50.8% | 0.63 | 0.30 | 4.2x | 81 | 40% |
| ADX / DI 방향성 period=26, threshold=35 |
4.1% | -8.0% | 0.61 | 0.51 | 1.5x | 4 | 4% |
| Donchian 채널 돌파 entryN=25, exitN=63 |
17.4% | -59.6% | 0.59 | 0.29 | 4.9x | 25 | 69% |
| Supertrend period=12, mult=3.8 |
16.0% | -68.5% | 0.57 | 0.23 | 4.4x | 39 | 56% |
| MACD fast=7, slow=12, signal=10 |
13.0% | -67.1% | 0.52 | 0.19 | 3.4x | 252 | 53% |
| SMA 크로스오버 fast=10, slow=131 |
12.4% | -61.7% | 0.51 | 0.20 | 3.2x | 21 | 54% |
| EMA 크로스오버 fast=56, slow=64 |
6.9% | -73.5% | 0.37 | 0.09 | 1.9x | 21 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2.9 |
3.2% | -63.2% | 0.26 | 0.05 | 1.4x | 37 | 38% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-2.0% | -75.3% | 0.13 | -0.03 | 0.8x | 249 | 55% |
| Buy and hold | 6.4% | -80.4% | 0.40 | 0.08 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 74-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 74-day middle average