Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nifco Inc. backtest
10 trend-following strategies were compared on the full daily history of Nifco Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -42.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -76.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -42.7%, Sharpe 0.47, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 9.2%, MDD -42.7%, exposure 86%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=70 |
9.2% | -42.7% | 0.47 | 0.21 | 9.4x | 75 | 86% |
| ROC 모멘텀 Hold-like · Exposure 97% n=4, threshold=-0.07 |
7.4% | -69.6% | 0.39 | 0.11 | 6.2x | 171 | 97% |
| 볼린저 밴드 돌파 n=72, k=2.7 |
3.7% | -28.2% | 0.33 | 0.13 | 2.5x | 45 | 26% |
| EMA 크로스오버 fast=58, slow=284 |
4.2% | -64.4% | 0.30 | 0.07 | 2.9x | 27 | 70% |
| SMA 크로스오버 fast=39, slow=186 |
3.0% | -56.5% | 0.24 | 0.05 | 2.1x | 45 | 62% |
| Supertrend period=13, mult=5 |
1.9% | -64.0% | 0.20 | 0.03 | 1.6x | 89 | 58% |
| ADX / DI 방향성 period=36, threshold=22 |
1.1% | -18.9% | 0.19 | 0.06 | 1.3x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=4 |
1.0% | -39.1% | 0.14 | 0.02 | 1.3x | 53 | 16% |
| MACD fast=11, slow=29, signal=10 |
-3.4% | -72.9% | -0.06 | -0.05 | 0.4x | 469 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-3.9% | -79.9% | -0.09 | -0.05 | 0.4x | 453 | 54% |
| Buy and hold | 9.3% | -76.1% | 0.45 | 0.12 | 9.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 70 days