Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Building Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nippon Building Fund, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -34.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.6%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -36.9%, Sharpe 0.33, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 2.1%, MDD -34.1%, exposure 15%).
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=165, exitN=46 |
3.4% | -36.9% | 0.33 | 0.09 | 2.0x | 18 | 29% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
2.1% | -34.1% | 0.26 | 0.06 | 1.5x | 28 | 15% |
| ADX / DI 방향성 period=22, threshold=33 |
1.2% | -13.7% | 0.24 | 0.09 | 1.3x | 10 | 2% |
| SMA 크로스오버 fast=46, slow=184 |
2.0% | -98.6% | 0.22 | 0.02 | 1.5x | 30 | 52% |
| EMA 크로스오버 fast=51, slow=165 |
1.8% | -98.6% | 0.22 | 0.02 | 1.4x | 36 | 52% |
| MACD fast=49, slow=65, signal=35 |
1.2% | -50.6% | 0.16 | 0.02 | 1.3x | 95 | 48% |
| Supertrend period=10, mult=5 |
1.1% | -54.0% | 0.15 | 0.02 | 1.3x | 53 | 55% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=4 |
0.5% | -27.9% | 0.11 | 0.02 | 1.1x | 18 | 5% |
| ROC 모멘텀 n=165, threshold=0.04 |
-19.2% | -99.4% | -0.19 | -0.19 | 0.0x | 128 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-7.0% | -87.8% | -0.31 | -0.08 | 0.2x | 163 | 55% |
| Buy and hold | 1.6% | -98.6% | 0.22 | 0.02 | 1.4x | 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 165 days
- Sell — Sell when price breaks below the lowest low of the last 46 days