Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nishi-Nippon Financial Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nishi-Nippon Financial Holdings, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -18.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.7%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -18.5%, Sharpe 0.42, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.8%, MDD -70.2%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 69.1%p (CAGR 3.1%, MDD -18.5%, exposure 3%).
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=20, k=3.2 |
3.1% | -18.5% | 0.42 | 0.17 | 2.2x | 16 | 3% |
| ADX / DI 방향성 period=19, threshold=32 |
3.8% | -23.6% | 0.40 | 0.16 | 2.6x | 32 | 6% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.9 |
4.0% | -40.0% | 0.32 | 0.10 | 2.7x | 88 | 23% |
| EMA 크로스오버 fast=46, slow=289 |
4.8% | -70.2% | 0.32 | 0.07 | 3.3x | 31 | 46% |
| SMA 크로스오버 fast=53, slow=149 |
3.4% | -71.2% | 0.26 | 0.05 | 2.4x | 47 | 49% |
| Donchian 채널 돌파 entryN=111, exitN=79 |
1.1% | -76.0% | 0.16 | 0.01 | 1.3x | 33 | 37% |
| ROC 모멘텀 n=148, threshold=0.14 |
0.9% | -54.5% | 0.14 | 0.02 | 1.3x | 165 | 28% |
| Supertrend period=8, mult=4.2 |
-0.2% | -84.2% | 0.12 | -0.00 | 0.9x | 113 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.4% | -91.1% | -0.00 | -0.04 | 0.4x | 197 | 51% |
| MACD fast=13, slow=46, signal=27 |
-3.5% | -91.2% | -0.01 | -0.04 | 0.4x | 280 | 52% |
| Buy and hold | 2.7% | -87.5% | 0.26 | 0.03 | 2.0x | 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 20-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 20-day middle average