Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Shinyaku Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nippon Shinyaku Co., Ltd.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -72.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.7%, MDD -6.8%, Sharpe 0.36, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -63.2%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=31, mult=3.7 |
1.7% | -6.8% | 0.36 | 0.26 | 1.6x | 4 | 0% |
| SMA 크로스오버 fast=127, slow=214 |
5.6% | -63.2% | 0.34 | 0.09 | 4.0x | 32 | 56% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.6% | -26.0% | 0.29 | 0.10 | 2.0x | 22 | 7% |
| Donchian 채널 돌파 entryN=42, exitN=78 |
2.7% | -66.9% | 0.23 | 0.04 | 2.0x | 48 | 67% |
| ADX / DI 방향성 period=21, threshold=27 |
1.1% | -22.8% | 0.16 | 0.05 | 1.3x | 36 | 6% |
| EMA 크로스오버 fast=16, slow=185 |
0.6% | -74.8% | 0.15 | 0.01 | 1.2x | 68 | 57% |
| ROC 모멘텀 n=99, threshold=-0.04 |
-0.8% | -67.2% | 0.09 | -0.01 | 0.8x | 252 | 63% |
| MACD fast=16, slow=37, signal=12 |
-0.7% | -70.0% | 0.08 | -0.01 | 0.8x | 359 | 51% |
| Supertrend period=10, mult=4.8 |
-2.0% | -70.5% | 0.03 | -0.03 | 0.6x | 104 | 56% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.9% | -84.9% | -0.15 | -0.07 | 0.2x | 208 | 53% |
| Buy and hold | 5.1% | -72.9% | 0.32 | 0.07 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 4-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average