Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Shokubai Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nippon Shokubai Co., Ltd.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -70.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.9%, MDD -11.6%, Sharpe 0.28, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.7%, MDD -52.3%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.6 |
0.9% | -11.6% | 0.28 | 0.08 | 1.3x | 10 | 2% |
| SMA 크로스오버 fast=23, slow=219 |
1.7% | -52.3% | 0.19 | 0.03 | 1.6x | 51 | 58% |
| EMA 크로스오버 fast=50, slow=257 |
1.2% | -59.5% | 0.16 | 0.02 | 1.3x | 39 | 58% |
| Donchian 채널 돌파 entryN=24, exitN=55 |
-0.7% | -58.6% | 0.09 | -0.01 | 0.8x | 85 | 71% |
| ADX / DI 방향성 period=31, threshold=34 |
0.2% | -10.5% | 0.09 | 0.02 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.1% | -11.5% | 0.04 | 0.01 | 1.0x | 6 | 1% |
| Supertrend period=13, mult=4.9 |
-2.7% | -80.5% | -0.03 | -0.03 | 0.5x | 102 | 56% |
| MACD fast=14, slow=38, signal=19 |
-3.2% | -76.7% | -0.06 | -0.04 | 0.4x | 303 | 51% |
| ROC 모멘텀 n=42, threshold=-0.04 |
-5.3% | -88.0% | -0.12 | -0.06 | 0.2x | 381 | 70% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.6% | -79.8% | -0.13 | -0.06 | 0.3x | 205 | 54% |
| Buy and hold | 5.5% | -70.3% | 0.33 | 0.08 | 3.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average