Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nomura Real Estate Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nomura Real Estate Holdings, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -24.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.5%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -68.2%, Sharpe 0.23, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 9.1%p (CAGR 1.1%, MDD -24.4%, exposure 4%).
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=54, exitN=71 |
2.5% | -68.2% | 0.23 | 0.04 | 1.6x | 30 | 60% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
1.1% | -24.4% | 0.20 | 0.05 | 1.2x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=17, mult=3.8 |
1.3% | -27.1% | 0.18 | 0.05 | 1.3x | 22 | 5% |
| SMA 크로스오버 fast=52, slow=203 |
1.2% | -53.0% | 0.17 | 0.02 | 1.3x | 28 | 53% |
| EMA 크로스오버 fast=18, slow=205 |
0.9% | -43.1% | 0.15 | 0.02 | 1.2x | 32 | 51% |
| ADX / DI 방향성 period=21, threshold=35 |
0.3% | -7.2% | 0.10 | 0.04 | 1.1x | 6 | 1% |
| ROC 모멘텀 n=137, threshold=-0.04 |
-2.0% | -76.3% | 0.04 | -0.03 | 0.7x | 133 | 60% |
| Supertrend period=36, mult=4.8 |
-2.5% | -60.7% | 0.01 | -0.04 | 0.6x | 74 | 51% |
| MACD fast=21, slow=59, signal=29 |
-4.2% | -77.0% | -0.07 | -0.05 | 0.4x | 161 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.6% | -84.3% | -0.26 | -0.10 | 0.2x | 341 | 53% |
| Buy and hold | 0.5% | -77.3% | 0.20 | 0.01 | 1.1x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 71 days