Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nagase & Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nagase & Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -57.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -48.7%, Sharpe 0.43, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, slow=266 |
7.0% | -48.7% | 0.43 | 0.14 | 5.7x | 29 | 58% |
| Donchian 채널 돌파 entryN=118, exitN=62 |
4.9% | -44.0% | 0.36 | 0.11 | 3.4x | 33 | 43% |
| ADX / DI 방향성 period=27, threshold=24 |
2.9% | -28.8% | 0.34 | 0.10 | 2.1x | 44 | 11% |
| EMA 크로스오버 fast=44, slow=209 |
4.8% | -54.8% | 0.32 | 0.09 | 3.3x | 45 | 63% |
| 볼린저 밴드 돌파 n=60, k=2.2 |
2.9% | -44.7% | 0.27 | 0.07 | 2.1x | 80 | 32% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=10, mult=3.5 |
2.3% | -46.0% | 0.22 | 0.05 | 1.8x | 72 | 35% |
| ROC 모멘텀 n=72, threshold=-0.1 |
1.8% | -80.8% | 0.20 | 0.02 | 1.6x | 183 | 85% |
| Supertrend period=26, mult=4.5 |
0.9% | -61.2% | 0.15 | 0.01 | 1.2x | 99 | 56% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-4.9% | -87.6% | -0.14 | -0.06 | 0.3x | 512 | 55% |
| MACD fast=11, slow=34, signal=13 |
-8.5% | -91.6% | -0.34 | -0.09 | 0.1x | 434 | 52% |
| Buy and hold | 9.8% | -57.3% | 0.47 | 0.17 | 11.0x | 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 56-day average price crosses above the 266-day average
- Sell — Sell (to cash) when the 56-day average falls below the 266-day average