Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nomad Foods Limited backtest
10 trend-following strategies were compared on the full daily history of Nomad Foods Limited. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.3%, MDD -10.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -71.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.9%, MDD -22.6%, Sharpe 0.62, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 5.3%, MDD -10.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=2.8 |
8.9% | -22.6% | 0.62 | 0.39 | 2.7x | 31 | 26% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
5.3% | -10.6% | 0.54 | 0.50 | 1.8x | 8 | 7% |
| SMA 크로스오버 fast=12, slow=72 |
8.7% | -46.4% | 0.49 | 0.19 | 2.6x | 49 | 53% |
| ADX / DI 방향성 period=26, threshold=21 |
5.4% | -26.3% | 0.47 | 0.20 | 1.8x | 34 | 17% |
| EMA 크로스오버 fast=8, slow=39 |
8.0% | -46.4% | 0.46 | 0.17 | 2.4x | 79 | 55% |
| Donchian 채널 돌파 entryN=49, exitN=43 |
6.3% | -38.8% | 0.41 | 0.16 | 2.0x | 31 | 45% |
| Supertrend period=28, mult=2.6 |
5.2% | -52.3% | 0.34 | 0.10 | 1.8x | 91 | 57% |
| ROC 모멘텀 n=66, threshold=0.09 |
4.1% | -50.1% | 0.32 | 0.08 | 1.6x | 103 | 31% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.0% | -57.9% | 0.24 | 0.05 | 1.4x | 103 | 55% |
| MACD fast=15, slow=30, signal=14 |
2.1% | -48.3% | 0.20 | 0.04 | 1.3x | 155 | 49% |
| Buy and hold | 1.0% | -71.3% | 0.19 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 45-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average