Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nojima Co.,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nojima Co.,Ltd.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.9%, MDD -43.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.0%, drawdown -86.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.9%, MDD -43.0%, Sharpe 0.67, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 15.9%, MDD -43.0%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=8, mult=3 |
15.9% | -43.0% | 0.67 | 0.37 | 51.7x | 64 | 39% |
| EMA 크로스오버 fast=8, slow=204 |
15.2% | -46.6% | 0.61 | 0.33 | 44.4x | 65 | 54% |
| SMA 크로스오버 fast=15, slow=52 |
15.2% | -47.2% | 0.61 | 0.32 | 44.4x | 138 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=64 |
15.4% | -62.0% | 0.59 | 0.25 | 46.3x | 66 | 69% |
| ADX / DI 방향성 period=33, threshold=15 |
12.2% | -45.9% | 0.56 | 0.27 | 21.6x | 148 | 34% |
| 볼린저 밴드 돌파 n=70, k=2 |
11.3% | -56.7% | 0.54 | 0.20 | 17.5x | 78 | 36% |
| Supertrend period=9, mult=4.4 |
11.6% | -64.1% | 0.51 | 0.18 | 18.7x | 118 | 49% |
| ROC 모멘텀 n=112, threshold=-0.04 |
9.9% | -61.1% | 0.46 | 0.16 | 12.6x | 185 | 61% |
| Parabolic SAR step=0.05, maxStep=0.26 |
2.8% | -69.8% | 0.24 | 0.04 | 2.1x | 828 | 50% |
| MACD fast=19, slow=41, signal=12 |
0.2% | -86.9% | 0.16 | 0.00 | 1.1x | 329 | 52% |
| Buy and hold | 11.0% | -86.8% | 0.46 | 0.13 | 16.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 91-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 91-day average