Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NTN Corporation backtest
10 trend-following strategies were compared on the full daily history of NTN Corporation. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -32.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.0%, drawdown -88.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -35.9%, Sharpe 0.58, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 4.3%, MDD -32.6%, exposure 14%).
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=34, k=3 |
7.9% | -35.9% | 0.58 | 0.22 | 7.6x | 38 | 12% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=28, mult=3.5 |
4.3% | -32.6% | 0.34 | 0.13 | 3.0x | 64 | 14% |
| Donchian 채널 돌파 entryN=31, exitN=64 |
5.1% | -70.0% | 0.32 | 0.07 | 3.8x | 73 | 64% |
| Supertrend period=23, mult=3.8 |
3.6% | -71.9% | 0.26 | 0.05 | 2.5x | 148 | 48% |
| EMA 크로스오버 fast=13, slow=56 |
3.1% | -71.5% | 0.25 | 0.04 | 2.3x | 128 | 50% |
| SMA 크로스오버 fast=17, slow=244 |
3.1% | -62.6% | 0.25 | 0.05 | 2.2x | 43 | 51% |
| MACD fast=28, slow=39, signal=19 |
2.8% | -66.2% | 0.24 | 0.04 | 2.1x | 233 | 52% |
| ADX / DI 방향성 period=34, threshold=10 |
2.4% | -67.6% | 0.22 | 0.04 | 1.9x | 252 | 40% |
| ROC 모멘텀 n=78, threshold=0.1 |
1.7% | -61.9% | 0.19 | 0.03 | 1.6x | 216 | 33% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-1.9% | -76.8% | 0.07 | -0.02 | 0.6x | 457 | 52% |
| Buy and hold | 1.0% | -88.3% | 0.23 | 0.01 | 1.3x | 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 34-day average (3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average