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.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -72.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -26.0%, Sharpe 0.30, 7% exposure.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.7% | -26.0% | 0.30 | 0.10 | 2.0x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=22, mult=4 |
2.3% | -29.7% | 0.24 | 0.08 | 1.8x | 42 | 13% |
| ADX / DI 방향성 period=56, threshold=22 |
1.7% | -29.2% | 0.24 | 0.06 | 1.5x | 6 | 5% |
| Donchian 채널 돌파 entryN=107, exitN=71 |
2.0% | -58.8% | 0.20 | 0.03 | 1.7x | 34 | 50% |
| SMA 크로스오버 fast=59, slow=106 |
1.7% | -65.7% | 0.19 | 0.03 | 1.5x | 62 | 56% |
| EMA 크로스오버 fast=15, slow=187 |
0.5% | -75.4% | 0.14 | 0.01 | 1.1x | 70 | 57% |
| ROC 모멘텀 n=74, threshold=-0.09 |
-0.4% | -76.4% | 0.12 | -0.01 | 0.9x | 216 | 78% |
| MACD fast=12, slow=38, signal=18 |
-0.9% | -69.7% | 0.07 | -0.01 | 0.8x | 336 | 51% |
| Supertrend period=25, mult=3.5 |
-2.2% | -75.7% | 0.02 | -0.03 | 0.6x | 176 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-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 upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 41-day middle average