Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nissin Foods Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nissin Foods Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -50.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -50.6%, Sharpe 0.22, 74% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=83, exitN=189 |
2.4% | -50.6% | 0.22 | 0.05 | 1.9x | 20 | 74% |
| ADX / DI 방향성 period=29, threshold=38 |
0.4% | -9.8% | 0.18 | 0.04 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=54, slow=143 |
0.5% | -55.1% | 0.12 | 0.01 | 1.1x | 48 | 56% |
| EMA 크로스오버 fast=36, slow=117 |
-0.6% | -71.3% | 0.05 | -0.01 | 0.9x | 59 | 57% |
| 볼린저 밴드 돌파 n=26, k=2.5 |
-0.5% | -45.6% | 0.00 | -0.01 | 0.9x | 114 | 20% |
| ROC 모멘텀 n=48, threshold=-0.04 |
-3.8% | -82.2% | -0.10 | -0.05 | 0.4x | 291 | 75% |
| Supertrend period=8, mult=2.8 |
-3.7% | -70.5% | -0.13 | -0.05 | 0.4x | 224 | 54% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=4 |
-1.2% | -41.8% | -0.18 | -0.03 | 0.7x | 38 | 8% |
| MACD fast=10, slow=26, signal=14 |
-4.4% | -72.7% | -0.20 | -0.06 | 0.3x | 438 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.0% | -80.7% | -0.29 | -0.07 | 0.2x | 429 | 52% |
| Buy and hold | 4.6% | -50.3% | 0.31 | 0.09 | 3.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 83 days
- Sell — Sell when price breaks below the lowest low of the last 189 days