Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nitto Boseki Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nitto Boseki Co., Ltd.. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.7%, MDD -60.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -77.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.5%, MDD -74.2%, Sharpe 0.47, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 3.4%p (CAGR 9.7%, MDD -60.7%, exposure 56%).
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=0.015, maxStep=0.16 |
10.5% | -74.2% | 0.47 | 0.14 | 14.1x | 412 | 51% |
| MACD fast=15, slow=57, signal=8 |
10.4% | -68.2% | 0.47 | 0.15 | 13.9x | 388 | 52% |
| EMA 크로스오버 fast=19, slow=215 |
9.7% | -60.7% | 0.44 | 0.16 | 11.7x | 50 | 56% |
| Donchian 채널 돌파 entryN=17, exitN=72 |
9.7% | -78.4% | 0.43 | 0.12 | 11.8x | 78 | 79% |
| SMA 크로스오버 fast=49, slow=195 |
8.8% | -76.9% | 0.42 | 0.11 | 9.4x | 41 | 54% |
| Supertrend period=27, mult=3 |
8.2% | -71.8% | 0.40 | 0.11 | 8.0x | 218 | 52% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
7.0% | -52.8% | 0.38 | 0.13 | 6.1x | 318 | 39% |
| ROC 모멘텀 n=119, threshold=0.13 |
7.2% | -62.6% | 0.38 | 0.11 | 6.3x | 230 | 40% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=1.1 |
5.0% | -66.9% | 0.31 | 0.08 | 3.7x | 310 | 40% |
| ADX / DI 방향성 period=26, threshold=13 |
0.8% | -73.9% | 0.18 | 0.01 | 1.2x | 268 | 45% |
| Buy and hold | 12.5% | -77.6% | 0.49 | 0.16 | 22.7x | 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