Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nomura Research Institute,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nomura Research Institute,Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -70.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -58.9%, Sharpe 0.41, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 5.8%, MDD -46.7%, exposure 61%).
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=49, slow=189 |
7.2% | -58.9% | 0.41 | 0.12 | 5.6x | 28 | 64% |
| SMA 크로스오버 fast=49, slow=197 |
6.9% | -67.0% | 0.39 | 0.10 | 5.2x | 34 | 62% |
| Donchian 채널 돌파 entryN=38, exitN=53 |
5.8% | -46.7% | 0.36 | 0.12 | 4.0x | 59 | 61% |
| ROC 모멘텀 n=147, threshold=-0.08 |
3.7% | -70.7% | 0.27 | 0.05 | 2.4x | 138 | 73% |
| ADX / DI 방향성 period=25, threshold=21 |
1.5% | -37.8% | 0.18 | 0.04 | 1.4x | 70 | 15% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=25, mult=1.4 |
1.3% | -51.8% | 0.17 | 0.02 | 1.4x | 189 | 45% |
| 볼린저 밴드 돌파 n=43, k=0.8 |
1.2% | -53.4% | 0.16 | 0.02 | 1.3x | 231 | 49% |
| Supertrend period=16, mult=3.9 |
-0.3% | -66.6% | 0.11 | -0.00 | 0.9x | 133 | 58% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.5% | -62.0% | 0.05 | -0.02 | 0.7x | 197 | 55% |
| MACD fast=15, slow=33, signal=15 |
-2.1% | -68.9% | 0.02 | -0.03 | 0.6x | 319 | 52% |
| Buy and hold | 7.6% | -70.2% | 0.39 | 0.11 | 6.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 189-day EMA
- Sell — Sell when the 49-day EMA falls below the 189-day EMA