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Trend-Following Backtester · Guide · backtest 한국어

equity · US

Nucor Corporation backtest

10 trend-following strategies were compared on the full daily history of Nucor Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1980-03-17 ~ 2026-08-31daily bars 11,709 (46.5 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 13.2%, drawdown -68.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -66.1%, Sharpe 0.48, 73% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=27, exitN=63
10.0%-66.1%0.480.1584.1x11173%
SMA 크로스오버
fast=51, slow=117
7.2%-59.3%0.400.1225.4x10361%
EMA 크로스오버
fast=70, slow=186
5.9%-76.2%0.350.0814.4x5963%
ROC 모멘텀
n=113, threshold=-0.03
5.4%-72.0%0.330.0811.7x36567%
볼린저 밴드 돌파
n=31, k=2.4
3.6%-60.9%0.310.065.2x20825%
Supertrend
period=16, mult=4.9
4.1%-78.1%0.290.056.6x17957%
Keltner 채널 돌파
emaPeriod=36, atrPeriod=25, mult=2.5
2.0%-55.8%0.200.042.6x26233%
Parabolic SAR
step=0.005, maxStep=0.1
0.9%-89.7%0.160.011.5x41555%
ADX / DI 방향성
period=21, threshold=12
0.3%-89.0%0.120.001.1x70148%
MACD
fast=29, slow=59, signal=16
-0.3%-87.0%0.11-0.000.9x44851%
Buy and hold13.2%-68.9%0.520.19311.7x1100%
1x 10x 100x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -52% -69% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -66.1% (2013-11-08 → 2020-05-13), recovered after 2,762 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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