Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NTT Inc backtest
10 trend-following strategies were compared on the full daily history of NTT Inc. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -15.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -81.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.8%, MDD -48.0%, Sharpe 0.25, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 0.5%, MDD -15.5%, exposure 3%).
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=58, slow=191 |
2.8% | -48.0% | 0.25 | 0.06 | 2.1x | 35 | 52% |
| SMA 크로스오버 fast=23, slow=282 |
2.8% | -52.3% | 0.25 | 0.05 | 2.1x | 43 | 53% |
| Donchian 채널 돌파 entryN=94, exitN=60 |
0.9% | -54.9% | 0.14 | 0.02 | 1.3x | 37 | 47% |
| ADX / DI 방향성 period=33, threshold=23 |
0.5% | -15.5% | 0.13 | 0.03 | 1.1x | 10 | 3% |
| ROC 모멘텀 n=55, threshold=-0.11 |
-2.6% | -86.8% | -0.00 | -0.03 | 0.5x | 165 | 88% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=3.5 |
-0.8% | -29.8% | -0.12 | -0.03 | 0.8x | 28 | 3% |
| 볼린저 밴드 돌파 n=36, k=2.6 |
-2.1% | -60.2% | -0.14 | -0.03 | 0.6x | 91 | 19% |
| Supertrend period=8, mult=4.1 |
-6.3% | -84.7% | -0.25 | -0.07 | 0.2x | 135 | 55% |
| MACD fast=19, slow=52, signal=16 |
-7.0% | -87.9% | -0.29 | -0.08 | 0.1x | 297 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-8.8% | -92.8% | -0.43 | -0.10 | 0.1x | 221 | 50% |
| Buy and hold | -0.2% | -81.7% | 0.13 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 191-day EMA
- Sell — Sell when the 58-day EMA falls below the 191-day EMA