Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NIPPON STEEL CORP. backtest
10 trend-following strategies were compared on the full daily history of NIPPON STEEL CORP.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -22.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.2%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -24.5%, Sharpe 0.48, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.1%, MDD -47.6%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR 2.7%, MDD -22.5%, exposure 5%).
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=33, k=3.1 |
4.5% | -24.5% | 0.48 | 0.18 | 3.2x | 28 | 8% |
| SMA 크로스오버 fast=49, slow=270 |
6.1% | -47.6% | 0.38 | 0.13 | 4.8x | 26 | 50% |
| ROC 모멘텀 n=136, threshold=0.14 |
5.0% | -42.5% | 0.37 | 0.12 | 3.7x | 172 | 27% |
| EMA 크로스오버 fast=49, slow=253 |
5.4% | -56.9% | 0.36 | 0.10 | 4.1x | 24 | 48% |
| ADX / DI 방향성 period=15, threshold=37 |
2.7% | -22.5% | 0.35 | 0.12 | 2.0x | 42 | 5% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=2.8 |
2.8% | -36.9% | 0.28 | 0.08 | 2.1x | 91 | 14% |
| Donchian 채널 돌파 entryN=52, exitN=59 |
2.4% | -71.5% | 0.22 | 0.03 | 1.9x | 59 | 55% |
| Supertrend period=3, mult=4.2 |
1.5% | -67.0% | 0.18 | 0.02 | 1.5x | 153 | 48% |
| MACD fast=24, slow=38, signal=19 |
-1.5% | -76.5% | 0.05 | -0.02 | 0.7x | 277 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.9% | -79.4% | -0.01 | -0.04 | 0.5x | 529 | 50% |
| Buy and hold | 1.2% | -91.6% | 0.21 | 0.01 | 1.4x | 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 33-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 33-day middle average