Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nissan Motor Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nissan Motor Co., Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -11.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.5%, MDD -47.6%, Sharpe 0.13, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 0.4%, MDD -11.9%, exposure 1%).
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=36, slow=205 |
0.5% | -47.6% | 0.13 | 0.01 | 1.2x | 44 | 46% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
0.4% | -11.9% | 0.12 | 0.03 | 1.1x | 6 | 1% |
| Donchian 채널 돌파 entryN=114, exitN=60 |
0.0% | -42.6% | 0.09 | 0.00 | 1.0x | 36 | 35% |
| ADX / DI 방향성 period=31, threshold=29 |
0.2% | -16.8% | 0.08 | 0.01 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=39, slow=122 |
-0.7% | -69.7% | 0.08 | -0.01 | 0.8x | 54 | 48% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=13, mult=3.4 |
-0.1% | -61.2% | 0.08 | -0.00 | 1.0x | 76 | 24% |
| Supertrend period=23, mult=4.5 |
-1.2% | -74.0% | 0.07 | -0.02 | 0.7x | 121 | 50% |
| ROC 모멘텀 n=67, threshold=0.14 |
-0.3% | -56.8% | 0.06 | -0.00 | 0.9x | 210 | 18% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.6% | -93.9% | -0.11 | -0.06 | 0.2x | 211 | 50% |
| MACD fast=14, slow=53, signal=23 |
-5.7% | -92.9% | -0.12 | -0.06 | 0.2x | 297 | 51% |
| Buy and hold | -0.7% | -83.1% | 0.16 | -0.01 | 0.8x | 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 36-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 36-day average falls below the 205-day average