Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nisshinbo Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Nisshinbo Holdings Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -54.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -74.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -54.2%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 20.1%p (CAGR 5.3%, MDD -54.2%, exposure 56%).
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=95, exitN=77 |
5.3% | -54.2% | 0.33 | 0.10 | 3.9x | 39 | 56% |
| SMA 크로스오버 fast=44, slow=79 |
5.1% | -72.4% | 0.32 | 0.07 | 3.8x | 91 | 57% |
| EMA 크로스오버 fast=19, slow=68 |
4.3% | -56.3% | 0.29 | 0.08 | 3.1x | 111 | 56% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.8% | -54.9% | 0.27 | 0.07 | 2.7x | 328 | 53% |
| ADX / DI 방향성 period=14, threshold=32 |
1.8% | -41.8% | 0.22 | 0.04 | 1.6x | 68 | 8% |
| Supertrend period=15, mult=4.8 |
1.9% | -59.7% | 0.20 | 0.03 | 1.6x | 103 | 53% |
| ROC 모멘텀 n=143, threshold=-0.04 |
0.7% | -76.0% | 0.16 | 0.01 | 1.2x | 199 | 64% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=2.4 |
1.1% | -49.8% | 0.16 | 0.02 | 1.3x | 74 | 8% |
| MACD fast=19, slow=30, signal=15 |
-0.5% | -65.2% | 0.10 | -0.01 | 0.9x | 346 | 52% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
0.2% | -60.1% | 0.10 | 0.00 | 1.1x | 92 | 26% |
| Buy and hold | 6.1% | -74.3% | 0.35 | 0.08 | 4.9x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 77 days