Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nichirei Corporation backtest
10 trend-following strategies were compared on the full daily history of Nichirei Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -62.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -59.7%, Sharpe 0.33, 89% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=101 |
5.4% | -59.7% | 0.33 | 0.09 | 4.1x | 57 | 89% |
| SMA 크로스오버 fast=23, slow=49 |
2.7% | -62.7% | 0.23 | 0.04 | 2.0x | 143 | 58% |
| ROC 모멘텀 n=176, threshold=0.1 |
2.3% | -53.0% | 0.22 | 0.04 | 1.8x | 191 | 40% |
| MACD fast=18, slow=23, signal=14 |
1.7% | -68.9% | 0.19 | 0.02 | 1.6x | 363 | 51% |
| EMA 크로스오버 fast=85, slow=106 |
1.3% | -62.9% | 0.17 | 0.02 | 1.4x | 51 | 62% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=30, mult=4 |
0.2% | -6.4% | 0.15 | 0.04 | 1.1x | 4 | 0% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.4% | -69.9% | 0.08 | -0.01 | 0.9x | 213 | 54% |
| ADX / DI 방향성 period=25, threshold=23 |
0.3% | -31.6% | 0.08 | 0.01 | 1.1x | 52 | 9% |
| Supertrend period=14, mult=4.9 |
-1.8% | -62.1% | 0.02 | -0.03 | 0.6x | 101 | 60% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
-3.2% | -74.2% | -0.10 | -0.04 | 0.4x | 229 | 42% |
| Buy and hold | 8.3% | -62.6% | 0.42 | 0.13 | 8.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 101 days