Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nomura Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nomura Holdings, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -25.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -93.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -25.8%, Sharpe 0.72, 6% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 6.3%, MDD -38.4%, exposure 24%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 67.8%p (CAGR 6.1%, MDD -25.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.3 |
6.1% | -25.8% | 0.72 | 0.24 | 4.9x | 12 | 6% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
5.8% | -38.8% | 0.50 | 0.15 | 4.5x | 69 | 14% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.5 |
6.3% | -38.4% | 0.45 | 0.16 | 5.1x | 67 | 24% |
| Supertrend period=17, mult=5 |
5.4% | -71.1% | 0.34 | 0.08 | 4.1x | 95 | 44% |
| ADX / DI 방향성 period=38, threshold=26 |
2.2% | -26.5% | 0.33 | 0.08 | 1.8x | 8 | 4% |
| ROC 모멘텀 n=67, threshold=0.14 |
4.2% | -43.1% | 0.33 | 0.10 | 3.0x | 201 | 22% |
| SMA 크로스오버 fast=21, slow=84 |
3.2% | -59.8% | 0.25 | 0.05 | 2.3x | 89 | 45% |
| EMA 크로스오버 fast=8, slow=77 |
2.8% | -55.8% | 0.24 | 0.05 | 2.1x | 141 | 45% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.2% | -90.9% | 0.08 | -0.01 | 0.7x | 341 | 50% |
| MACD fast=8, slow=53, signal=12 |
-4.5% | -92.2% | -0.05 | -0.05 | 0.3x | 479 | 51% |
| Buy and hold | -0.8% | -93.6% | 0.17 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 43-day middle average