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 EMA 크로스오버 (CAGR 17.3%, MDD -59.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.6%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.3%, MDD -59.1%, Sharpe 0.65, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 17.3%, MDD -59.1%, exposure 49%).
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=199 |
17.3% | -59.1% | 0.65 | 0.29 | 59.0x | 25 | 49% |
| SMA 크로스오버 fast=32, slow=188 |
16.6% | -72.3% | 0.62 | 0.23 | 51.2x | 35 | 51% |
| ROC 모멘텀 n=146, threshold=0 |
15.0% | -70.4% | 0.58 | 0.21 | 35.9x | 205 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
12.9% | -74.9% | 0.55 | 0.17 | 22.1x | 116 | 42% |
| Supertrend period=6, mult=4.9 |
12.2% | -81.1% | 0.50 | 0.15 | 19.0x | 87 | 57% |
| Donchian 채널 돌파 entryN=86, exitN=74 |
11.7% | -62.7% | 0.50 | 0.19 | 17.0x | 40 | 49% |
| ADX / DI 방향성 period=30, threshold=19 |
8.4% | -55.4% | 0.44 | 0.15 | 7.9x | 88 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=1.4 |
7.7% | -75.8% | 0.39 | 0.10 | 6.6x | 181 | 42% |
| Parabolic SAR step=0.025, maxStep=0.1 |
4.6% | -73.1% | 0.30 | 0.06 | 3.2x | 471 | 50% |
| MACD fast=11, slow=25, signal=13 |
-1.9% | -87.6% | 0.11 | -0.02 | 0.6x | 459 | 52% |
| Buy and hold | 10.6% | -94.1% | 0.45 | 0.11 | 13.1x | 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 199-day EMA
- Sell — Sell when the 40-day EMA falls below the 199-day EMA