Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Niterra Co.,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Niterra Co.,Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -39.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.0%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -54.9%, Sharpe 0.50, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 6.5%, MDD -39.7%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=112 |
9.1% | -54.9% | 0.50 | 0.17 | 9.3x | 63 | 55% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
6.5% | -39.7% | 0.47 | 0.16 | 5.0x | 86 | 27% |
| ADX / DI 방향성 period=37, threshold=26 |
4.0% | -22.1% | 0.47 | 0.18 | 2.7x | 16 | 6% |
| EMA 크로스오버 fast=34, slow=68 |
8.3% | -50.4% | 0.46 | 0.16 | 7.7x | 69 | 56% |
| Donchian 채널 돌파 entryN=35, exitN=34 |
7.3% | -53.3% | 0.43 | 0.14 | 6.1x | 84 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=2.3 |
5.7% | -48.6% | 0.40 | 0.12 | 4.1x | 128 | 37% |
| ROC 모멘텀 n=114, threshold=-0.08 |
5.8% | -74.8% | 0.35 | 0.08 | 4.2x | 205 | 69% |
| Supertrend period=11, mult=4.7 |
5.0% | -62.7% | 0.33 | 0.08 | 3.5x | 106 | 53% |
| MACD fast=17, slow=47, signal=17 |
-3.2% | -79.3% | -0.01 | -0.04 | 0.4x | 316 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.0% | -91.0% | -0.10 | -0.06 | 0.3x | 428 | 54% |
| Buy and hold | 7.0% | -78.8% | 0.37 | 0.09 | 5.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 22-day average falls below the 112-day average