Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Nisshin Seifun Group Inc. backtest

10 trend-following strategies were compared on the full daily history of Nisshin Seifun Group Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 5.1%, drawdown -46.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -44.0%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=3, threshold=-0.11
5.1%-44.0%0.320.123.7x13100%
SMA 크로스오버
fast=57, slow=173
3.3%-49.0%0.270.072.4x4057%
EMA 크로스오버
fast=56, slow=375
2.1%-39.1%0.210.051.7x2354%
Donchian 채널 돌파
entryN=67, exitN=88
1.3%-46.7%0.160.031.4x3565%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=26, mult=4
0.2%-9.0%0.080.021.1x81%
MACD
fast=16, slow=27, signal=16
-2.1%-59.3%-0.04-0.040.6x35151%
ADX / DI 방향성
period=22, threshold=38
-0.1%-6.9%-0.09-0.021.0x20%
Supertrend
period=24, mult=5
-3.6%-75.5%-0.12-0.050.4x9356%
Parabolic SAR
step=0.01, maxStep=0.14
-4.6%-77.4%-0.17-0.060.3x35952%
볼린저 밴드 돌파
n=58, k=2.2
-2.9%-62.6%-0.18-0.050.5x9730%
Buy and hold5.1%-46.7%0.330.113.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -23% -35% -47% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -44.0% (2019-05-24 → 2022-09-26), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next