Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nitto Denko Corp. backtest
10 trend-following strategies were compared on the full daily history of Nitto Denko Corp.. 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 8.1%, MDD -34.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -86.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -53.4%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 8.1%, MDD -34.1%, exposure 33%).
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=54, slow=184 |
10.3% | -53.4% | 0.52 | 0.19 | 12.2x | 34 | 54% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
8.1% | -34.1% | 0.51 | 0.24 | 7.2x | 107 | 33% |
| Donchian 채널 돌파 entryN=95, exitN=61 |
7.4% | -51.1% | 0.44 | 0.14 | 6.2x | 41 | 44% |
| Supertrend period=32, mult=4.9 |
6.6% | -66.7% | 0.38 | 0.10 | 5.1x | 99 | 59% |
| EMA 크로스오버 fast=38, slow=172 |
6.2% | -55.7% | 0.37 | 0.11 | 4.7x | 38 | 56% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=29, mult=3.2 |
4.1% | -53.4% | 0.32 | 0.08 | 2.8x | 93 | 25% |
| ADX / DI 방향성 period=37, threshold=13 |
3.5% | -51.8% | 0.28 | 0.07 | 2.4x | 124 | 29% |
| ROC 모멘텀 n=130, threshold=0.07 |
3.5% | -53.4% | 0.27 | 0.07 | 2.4x | 210 | 46% |
| MACD fast=15, slow=52, signal=19 |
1.7% | -80.8% | 0.19 | 0.02 | 1.5x | 273 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.4% | -72.7% | 0.18 | 0.02 | 1.4x | 229 | 53% |
| Buy and hold | 6.8% | -86.9% | 0.36 | 0.08 | 5.3x | 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 54-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 54-day average falls below the 184-day average