Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nicolet Bankshares Inc. backtest
10 trend-following strategies were compared on the full daily history of Nicolet Bankshares Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.8%, MDD -28.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.4%, drawdown -44.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.8%, MDD -28.9%, Sharpe 0.77, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 17.8%, MDD -28.9%, exposure 87%).
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=27, exitN=78 |
17.8% | -28.9% | 0.77 | 0.62 | 8.8x | 17 | 87% |
| SMA 크로스오버 fast=51, slow=71 |
15.4% | -28.0% | 0.74 | 0.55 | 6.7x | 61 | 67% |
| EMA 크로스오버 fast=59, slow=166 |
16.4% | -33.6% | 0.74 | 0.49 | 7.5x | 9 | 78% |
| ROC 모멘텀 n=51, threshold=-0.09 |
16.8% | -34.4% | 0.73 | 0.49 | 7.9x | 77 | 90% |
| Supertrend period=13, mult=4.8 |
9.3% | -32.7% | 0.50 | 0.28 | 3.2x | 41 | 67% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
5.3% | -17.8% | 0.49 | 0.30 | 2.0x | 14 | 12% |
| ADX / DI 방향성 period=27, threshold=39 |
1.4% | -8.7% | 0.40 | 0.16 | 1.2x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=36, mult=3.5 |
3.8% | -33.5% | 0.33 | 0.11 | 1.6x | 31 | 26% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.4% | -52.0% | 0.26 | 0.07 | 1.6x | 252 | 57% |
| MACD fast=15, slow=59, signal=18 |
2.0% | -56.8% | 0.20 | 0.04 | 1.3x | 162 | 49% |
| Buy and hold | 19.4% | -44.3% | 0.74 | 0.44 | 10.5x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 78 days