Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NOF Corporation backtest
10 trend-following strategies were compared on the full daily history of NOF Corporation. 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 11.9%, drawdown -71.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -71.8%, Sharpe 0.51, 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=1, threshold=-0.14 |
11.5% | -71.8% | 0.51 | 0.16 | 16.3x | 3 | 100% |
| SMA 크로스오버 fast=55, slow=202 |
7.8% | -55.8% | 0.45 | 0.14 | 6.8x | 38 | 60% |
| EMA 크로스오버 fast=56, slow=263 |
6.7% | -47.5% | 0.40 | 0.14 | 5.2x | 34 | 68% |
| Donchian 채널 돌파 entryN=13, exitN=61 |
5.5% | -57.8% | 0.34 | 0.10 | 4.0x | 77 | 85% |
| Supertrend period=15, mult=4.7 |
4.1% | -56.4% | 0.30 | 0.07 | 2.8x | 98 | 56% |
| ADX / DI 방향성 period=32, threshold=36 |
1.1% | -10.8% | 0.30 | 0.10 | 1.3x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.36 |
2.4% | -69.1% | 0.22 | 0.03 | 1.8x | 325 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=2.7 |
0.5% | -53.2% | 0.11 | 0.01 | 1.1x | 112 | 33% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
0.1% | -58.4% | 0.06 | 0.00 | 1.0x | 78 | 16% |
| MACD fast=15, slow=32, signal=16 |
-3.7% | -69.6% | -0.08 | -0.05 | 0.4x | 355 | 51% |
| Buy and hold | 11.9% | -71.8% | 0.52 | 0.17 | 17.8x | 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 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below