Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NS United Kaiun Kaisha,Ltd. backtest
10 trend-following strategies were compared on the full daily history of NS United Kaiun Kaisha,Ltd.. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -50.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.7%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.5%, MDD -58.5%, Sharpe 0.68, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 13.9%, MDD -50.3%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=197 |
18.5% | -58.5% | 0.68 | 0.32 | 78.2x | 25 | 49% |
| SMA 크로스오버 fast=29, slow=192 |
17.8% | -72.5% | 0.65 | 0.25 | 67.2x | 35 | 51% |
| 볼린저 밴드 돌파 n=60, k=0.9 |
14.7% | -70.4% | 0.59 | 0.21 | 34.1x | 137 | 45% |
| ROC 모멘텀 n=147, threshold=-0.01 |
15.6% | -70.1% | 0.59 | 0.22 | 42.0x | 219 | 53% |
| Donchian 채널 돌파 entryN=84, exitN=45 |
13.9% | -50.3% | 0.59 | 0.28 | 28.8x | 49 | 41% |
| Supertrend period=5, mult=4.8 |
13.5% | -78.3% | 0.54 | 0.17 | 26.3x | 95 | 57% |
| ADX / DI 방향성 period=31, threshold=16 |
9.5% | -59.3% | 0.46 | 0.16 | 10.3x | 127 | 33% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.5 |
8.7% | -73.4% | 0.42 | 0.12 | 8.6x | 173 | 42% |
| Parabolic SAR step=0.025, maxStep=0.1 |
5.7% | -73.1% | 0.33 | 0.08 | 4.2x | 471 | 51% |
| MACD fast=19, slow=44, signal=15 |
1.8% | -87.6% | 0.22 | 0.02 | 1.6x | 306 | 52% |
| Buy and hold | 11.7% | -94.1% | 0.47 | 0.12 | 17.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 197-day EMA
- Sell — Sell when the 40-day EMA falls below the 197-day EMA