Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NOK Corporation backtest
10 trend-following strategies were compared on the full daily history of NOK Corporation. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -33.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.4%, drawdown -86.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -33.2%, Sharpe 0.58, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, MDD -56.1%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 7.6%, MDD -33.2%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=52, threshold=19 |
7.6% | -33.2% | 0.58 | 0.23 | 6.5x | 18 | 11% |
| SMA 크로스오버 fast=40, slow=203 |
11.4% | -56.1% | 0.55 | 0.20 | 15.9x | 33 | 55% |
| Donchian 채널 돌파 entryN=79, exitN=53 |
9.5% | -49.7% | 0.50 | 0.19 | 10.2x | 41 | 46% |
| ROC 모멘텀 n=191, threshold=0.01 |
8.9% | -50.5% | 0.46 | 0.18 | 8.8x | 137 | 53% |
| EMA 크로스오버 fast=46, slow=203 |
7.9% | -60.3% | 0.43 | 0.13 | 7.0x | 27 | 53% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=4 |
2.6% | -28.1% | 0.32 | 0.09 | 1.9x | 14 | 3% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
3.9% | -48.0% | 0.29 | 0.08 | 2.7x | 133 | 28% |
| Supertrend period=9, mult=2 |
-0.0% | -76.4% | 0.13 | -0.00 | 1.0x | 361 | 52% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-3.4% | -91.0% | 0.00 | -0.04 | 0.4x | 463 | 51% |
| MACD fast=17, slow=34, signal=15 |
-5.1% | -91.8% | -0.06 | -0.06 | 0.3x | 341 | 54% |
| Buy and hold | 3.4% | -86.9% | 0.28 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 52-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)