Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nomura Micro Science Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nomura Micro Science Co., Ltd.. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.1%, MDD -65.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.0%, drawdown -91.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.9%, MDD -68.5%, Sharpe 0.67, 44% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 18.1%, MDD -65.1%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.36 |
20.9% | -68.5% | 0.67 | 0.30 | 35.4x | 122 | 44% |
| MACD fast=17, slow=57, signal=19 |
20.4% | -65.3% | 0.67 | 0.31 | 32.9x | 158 | 51% |
| 볼린저 밴드 돌파 n=14, k=1.3 |
18.7% | -73.4% | 0.65 | 0.25 | 25.1x | 282 | 35% |
| EMA 크로스오버 fast=45, slow=147 |
18.1% | -65.1% | 0.61 | 0.28 | 23.0x | 25 | 49% |
| SMA 크로스오버 fast=22, slow=203 |
16.9% | -74.7% | 0.59 | 0.23 | 18.9x | 31 | 50% |
| Supertrend period=17, mult=2.4 |
16.3% | -84.3% | 0.58 | 0.19 | 17.2x | 174 | 46% |
| Donchian 채널 돌파 entryN=67, exitN=16 |
13.1% | -75.1% | 0.55 | 0.17 | 10.1x | 52 | 21% |
| ADX / DI 방향성 period=13, threshold=22 |
13.9% | -86.0% | 0.54 | 0.16 | 11.6x | 192 | 38% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=23, mult=3.4 |
11.3% | -67.9% | 0.52 | 0.17 | 7.5x | 60 | 18% |
| ROC 모멘텀 n=133, threshold=0.02 |
8.7% | -92.9% | 0.41 | 0.09 | 4.8x | 149 | 49% |
| Buy and hold | 10.0% | -91.2% | 0.45 | 0.11 | 6.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots