Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Sanso Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Nippon Sanso Holdings Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -45.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -67.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -45.0%, Sharpe 0.47, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 9.1%, MDD -45.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=20, slow=211 |
9.1% | -45.0% | 0.47 | 0.20 | 9.3x | 43 | 60% |
| SMA 크로스오버 fast=58, slow=109 |
8.9% | -44.0% | 0.46 | 0.20 | 8.9x | 57 | 59% |
| ADX / DI 방향성 period=27, threshold=22 |
4.4% | -29.6% | 0.40 | 0.15 | 3.0x | 48 | 15% |
| Donchian 채널 돌파 entryN=103, exitN=75 |
3.9% | -49.3% | 0.28 | 0.08 | 2.7x | 42 | 54% |
| ROC 모멘텀 n=84, threshold=-0.04 |
3.0% | -60.1% | 0.24 | 0.05 | 2.1x | 249 | 67% |
| 볼린저 밴드 돌파 n=27, k=3.1 |
1.6% | -35.3% | 0.20 | 0.04 | 1.5x | 44 | 10% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=24, mult=3.7 |
1.6% | -55.9% | 0.18 | 0.03 | 1.5x | 76 | 31% |
| Supertrend period=8, mult=4.2 |
0.0% | -67.7% | 0.13 | 0.00 | 1.0x | 121 | 54% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.0% | -77.5% | 0.04 | -0.03 | 0.6x | 219 | 52% |
| MACD fast=17, slow=29, signal=8 |
-5.6% | -89.5% | -0.12 | -0.06 | 0.2x | 450 | 51% |
| Buy and hold | 10.5% | -67.9% | 0.46 | 0.15 | 12.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 20-day EMA crosses above the 211-day EMA
- Sell — Sell when the 20-day EMA falls below the 211-day EMA