Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NSK Ltd. backtest
10 trend-following strategies were compared on the full daily history of NSK Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -34.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.9%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -34.4%, Sharpe 0.43, 28% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.6%, MDD -57.5%, exposure 44%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 6.4%, MDD -34.4%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=28 |
6.4% | -34.4% | 0.43 | 0.18 | 5.1x | 52 | 28% |
| 볼린저 밴드 돌파 n=78, k=1 |
6.6% | -57.5% | 0.40 | 0.12 | 5.5x | 108 | 44% |
| SMA 크로스오버 fast=27, slow=198 |
6.6% | -57.6% | 0.38 | 0.11 | 5.4x | 43 | 51% |
| EMA 크로스오버 fast=36, slow=78 |
6.1% | -54.0% | 0.36 | 0.11 | 4.8x | 74 | 51% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=18, mult=1.8 |
5.4% | -69.2% | 0.35 | 0.08 | 4.0x | 126 | 42% |
| Supertrend period=29, mult=4.4 |
5.5% | -63.5% | 0.34 | 0.09 | 4.2x | 116 | 50% |
| ROC 모멘텀 n=60, threshold=0.04 |
2.9% | -60.3% | 0.24 | 0.05 | 2.2x | 314 | 45% |
| MACD fast=16, slow=72, signal=23 |
2.8% | -57.3% | 0.24 | 0.05 | 2.1x | 230 | 52% |
| ADX / DI 방향성 period=29, threshold=30 |
0.7% | -26.3% | 0.17 | 0.03 | 1.2x | 8 | 2% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.5% | -71.7% | 0.15 | 0.01 | 1.1x | 354 | 53% |
| Buy and hold | 1.9% | -78.7% | 0.24 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 28 days