Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nissui Corporation backtest
10 trend-following strategies were compared on the full daily history of Nissui Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -52.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.1%, drawdown -83.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -52.2%, Sharpe 0.48, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 9.1%, MDD -52.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=160 |
9.1% | -52.2% | 0.48 | 0.17 | 10.1x | 31 | 60% |
| SMA 크로스오버 fast=32, slow=219 |
8.6% | -61.4% | 0.47 | 0.14 | 9.0x | 37 | 59% |
| Donchian 채널 돌파 entryN=20, exitN=79 |
5.4% | -63.2% | 0.33 | 0.08 | 4.0x | 73 | 80% |
| Supertrend period=12, mult=4.3 |
4.9% | -53.6% | 0.32 | 0.09 | 3.6x | 109 | 57% |
| ROC 모멘텀 n=143, threshold=0.01 |
4.7% | -50.2% | 0.32 | 0.09 | 3.4x | 203 | 59% |
| 볼린저 밴드 돌파 n=27, k=1.9 |
2.9% | -35.2% | 0.25 | 0.08 | 2.2x | 199 | 33% |
| MACD fast=16, slow=26, signal=22 |
2.0% | -60.0% | 0.20 | 0.03 | 1.7x | 319 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=1.7 |
1.8% | -50.1% | 0.19 | 0.04 | 1.6x | 211 | 30% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.5% | -54.3% | 0.13 | 0.01 | 1.1x | 417 | 51% |
| ADX / DI 방향성 period=39, threshold=7 |
-1.7% | -67.9% | 0.04 | -0.02 | 0.6x | 350 | 57% |
| Buy and hold | 8.1% | -83.8% | 0.41 | 0.10 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 160-day EMA
- Sell — Sell when the 53-day EMA falls below the 160-day EMA