Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nisshin Seifun Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Nisshin Seifun Group Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -46.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -44.0%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.11 |
5.1% | -44.0% | 0.32 | 0.12 | 3.7x | 13 | 100% |
| SMA 크로스오버 fast=57, slow=173 |
3.3% | -49.0% | 0.27 | 0.07 | 2.4x | 40 | 57% |
| EMA 크로스오버 fast=56, slow=375 |
2.1% | -39.1% | 0.21 | 0.05 | 1.7x | 23 | 54% |
| Donchian 채널 돌파 entryN=67, exitN=88 |
1.3% | -46.7% | 0.16 | 0.03 | 1.4x | 35 | 65% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=26, mult=4 |
0.2% | -9.0% | 0.08 | 0.02 | 1.1x | 8 | 1% |
| MACD fast=16, slow=27, signal=16 |
-2.1% | -59.3% | -0.04 | -0.04 | 0.6x | 351 | 51% |
| ADX / DI 방향성 period=22, threshold=38 |
-0.1% | -6.9% | -0.09 | -0.02 | 1.0x | 2 | 0% |
| Supertrend period=24, mult=5 |
-3.6% | -75.5% | -0.12 | -0.05 | 0.4x | 93 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-4.6% | -77.4% | -0.17 | -0.06 | 0.3x | 359 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
-2.9% | -62.6% | -0.18 | -0.05 | 0.5x | 97 | 30% |
| Buy and hold | 5.1% | -46.7% | 0.33 | 0.11 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -11%
- Sell — Sell when the 3-day return drops to -11% or below