Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Nichidenbo Corp. backtest
10 trend-following strategies were compared on the full daily history of Nichidenbo Corp.. 4 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.3%, MDD -36.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.1%, drawdown -66.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 14.3%, MDD -36.1%, Sharpe 0.68, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.9%, MDD -66.5%, exposure 86%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 14.3%, MDD -36.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.28 |
14.3% | -36.1% | 0.68 | 0.40 | 12.1x | 209 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=74 |
15.9% | -66.5% | 0.65 | 0.24 | 15.8x | 39 | 86% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
12.0% | -34.2% | 0.64 | 0.35 | 8.3x | 56 | 32% |
| ROC 모멘텀 n=63, threshold=-0.04 |
14.5% | -66.5% | 0.63 | 0.22 | 12.5x | 150 | 71% |
| MACD fast=13, slow=55, signal=14 |
12.7% | -44.2% | 0.62 | 0.29 | 9.3x | 223 | 51% |
| SMA 크로스오버 fast=59, slow=85 |
13.4% | -66.5% | 0.61 | 0.20 | 10.4x | 67 | 60% |
| Supertrend period=8, mult=4.6 |
13.0% | -56.0% | 0.60 | 0.23 | 9.7x | 64 | 61% |
| ADX / DI 방향성 period=39, threshold=14 |
10.3% | -64.6% | 0.53 | 0.16 | 6.2x | 101 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=0.7 |
10.4% | -41.9% | 0.53 | 0.25 | 6.3x | 186 | 52% |
| EMA 크로스오버 fast=11, slow=30 |
9.0% | -58.5% | 0.47 | 0.15 | 5.0x | 138 | 57% |
| Buy and hold | 13.1% | -66.5% | 0.54 | 0.20 | 9.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots