Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nissan Chemical Corporation backtest
10 trend-following strategies were compared on the full daily history of Nissan Chemical Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -43.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -47.2%, Sharpe 0.47, 46% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -43.3%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 8.4%, MDD -43.3%, exposure 54%).
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=109, exitN=65 |
7.9% | -47.2% | 0.47 | 0.17 | 7.6x | 37 | 46% |
| SMA 크로스오버 fast=10, slow=257 |
8.4% | -43.3% | 0.47 | 0.19 | 8.5x | 57 | 54% |
| EMA 크로스오버 fast=55, slow=209 |
8.1% | -54.3% | 0.45 | 0.15 | 7.9x | 25 | 56% |
| ROC 모멘텀 n=180, threshold=0.23 |
5.7% | -31.3% | 0.41 | 0.18 | 4.4x | 121 | 29% |
| ADX / DI 방향성 period=37, threshold=23 |
2.8% | -22.5% | 0.37 | 0.12 | 2.1x | 16 | 7% |
| Supertrend period=29, mult=4.5 |
5.0% | -48.0% | 0.32 | 0.10 | 3.6x | 108 | 55% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=28, mult=2.2 |
3.6% | -36.2% | 0.32 | 0.10 | 2.6x | 144 | 23% |
| 볼린저 밴드 돌파 n=23, k=2.6 |
2.8% | -35.2% | 0.30 | 0.08 | 2.1x | 94 | 16% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.1% | -55.2% | 0.25 | 0.06 | 2.2x | 228 | 54% |
| MACD fast=16, slow=46, signal=19 |
2.2% | -50.6% | 0.21 | 0.04 | 1.8x | 296 | 49% |
| Buy and hold | 10.7% | -78.7% | 0.47 | 0.14 | 14.9x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 65 days