Trend-Following Backtester · Guide · backtest 한국어
equity · US
NXP Semiconductors N.V. backtest
10 trend-following strategies were compared on the full daily history of NXP Semiconductors N.V.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -60.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -62.7%, Sharpe 0.55, 87% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=54 |
14.3% | -62.7% | 0.55 | 0.23 | 8.6x | 60 | 87% |
| EMA 크로스오버 fast=48, slow=66 |
11.9% | -57.3% | 0.53 | 0.21 | 6.1x | 36 | 67% |
| SMA 크로스오버 fast=18, slow=61 |
11.0% | -60.3% | 0.50 | 0.18 | 5.4x | 72 | 63% |
| 볼린저 밴드 돌파 n=63, k=2.9 |
7.5% | -38.9% | 0.50 | 0.19 | 3.2x | 28 | 27% |
| Supertrend period=11, mult=5 |
10.8% | -60.9% | 0.50 | 0.18 | 5.2x | 50 | 62% |
| ROC 모멘텀 n=53, threshold=-0.02 |
7.5% | -58.4% | 0.39 | 0.13 | 3.2x | 196 | 67% |
| ADX / DI 방향성 period=30, threshold=32 |
2.8% | -19.2% | 0.38 | 0.14 | 1.5x | 6 | 5% |
| MACD fast=17, slow=37, signal=21 |
5.6% | -52.5% | 0.33 | 0.11 | 2.4x | 184 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.0% | -64.8% | 0.31 | 0.08 | 2.2x | 138 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=2.7 |
3.2% | -63.8% | 0.25 | 0.05 | 1.7x | 74 | 44% |
| Buy and hold | 18.8% | -60.0% | 0.62 | 0.31 | 16.0x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 54 days