Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NH Foods Limited backtest
10 trend-following strategies were compared on the full daily history of NH Foods Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.3%, drawdown -59.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.5%, MDD -13.7%, Sharpe 0.32, 5% exposure.
CAGR reference leader: MACD — CAGR 1.8%, MDD -55.1%, exposure 51%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3 |
1.5% | -13.7% | 0.32 | 0.11 | 1.5x | 28 | 5% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=17, mult=3.1 |
0.4% | -5.9% | 0.24 | 0.06 | 1.1x | 6 | 1% |
| MACD fast=28, slow=53, signal=19 |
1.8% | -55.1% | 0.19 | 0.03 | 1.6x | 225 | 51% |
| ROC 모멘텀 n=34, threshold=-0.12 |
1.0% | -63.0% | 0.17 | 0.02 | 1.3x | 117 | 93% |
| Donchian 채널 돌파 entryN=15, exitN=71 |
0.2% | -64.8% | 0.13 | 0.00 | 1.0x | 89 | 78% |
| ADX / DI 방향성 period=30, threshold=21 |
0.0% | -27.7% | 0.04 | 0.00 | 1.0x | 48 | 11% |
| SMA 크로스오버 fast=24, slow=69 |
-1.2% | -63.3% | 0.04 | -0.02 | 0.7x | 113 | 52% |
| Supertrend period=28, mult=4.3 |
-2.0% | -63.0% | 0.00 | -0.03 | 0.6x | 119 | 52% |
| EMA 크로스오버 fast=36, slow=192 |
-4.3% | -82.7% | -0.11 | -0.05 | 0.3x | 56 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.5% | -88.9% | -0.25 | -0.07 | 0.2x | 459 | 51% |
| Buy and hold | 3.3% | -59.8% | 0.26 | 0.06 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3× volatility)
- Sell — Sell when the close falls back to the 15-day middle average