Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NANKAI Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of NANKAI Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -44.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -10.4%, Sharpe 0.41, 1% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.2 |
1.3% | -10.4% | 0.41 | 0.12 | 1.3x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=13, mult=3.9 |
1.0% | -5.9% | 0.39 | 0.17 | 1.2x | 4 | 1% |
| ROC 모멘텀 n=6, threshold=0.13 |
0.9% | -6.2% | 0.33 | 0.15 | 1.2x | 10 | 0% |
| ADX / DI 방향성 period=16, threshold=39 |
0.7% | -17.2% | 0.16 | 0.04 | 1.1x | 20 | 5% |
| Donchian 채널 돌파 entryN=63, exitN=65 |
0.8% | -36.0% | 0.13 | 0.02 | 1.2x | 33 | 47% |
| Supertrend period=8, mult=4.8 |
0.7% | -41.0% | 0.12 | 0.02 | 1.1x | 73 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.3% | -52.4% | -0.00 | -0.02 | 0.8x | 231 | 52% |
| EMA 크로스오버 fast=39, slow=83 |
-1.5% | -58.6% | -0.02 | -0.03 | 0.8x | 43 | 50% |
| SMA 크로스오버 fast=10, slow=107 |
-1.5% | -40.9% | -0.02 | -0.04 | 0.8x | 77 | 50% |
| MACD fast=16, slow=31, signal=15 |
-3.1% | -62.2% | -0.13 | -0.05 | 0.6x | 226 | 52% |
| Buy and hold | 3.5% | -44.6% | 0.27 | 0.08 | 1.9x | 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 14-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 14-day middle average