Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Paint Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nippon Paint Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -61.8%, Sharpe 0.53, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=206 |
10.6% | -61.8% | 0.53 | 0.17 | 13.2x | 35 | 61% |
| Donchian 채널 돌파 entryN=98, exitN=96 |
8.6% | -58.2% | 0.47 | 0.15 | 8.3x | 27 | 54% |
| EMA 크로스오버 fast=41, slow=195 |
7.5% | -72.6% | 0.42 | 0.10 | 6.3x | 43 | 60% |
| ROC 모멘텀 n=138, threshold=-0.05 |
5.9% | -72.8% | 0.35 | 0.08 | 4.4x | 193 | 70% |
| Supertrend period=11, mult=4.1 |
3.9% | -72.7% | 0.28 | 0.05 | 2.7x | 131 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.3% | -74.4% | 0.22 | 0.03 | 1.8x | 215 | 52% |
| ADX / DI 방향성 period=38, threshold=25 |
0.6% | -28.8% | 0.11 | 0.02 | 1.2x | 24 | 6% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
0.1% | -67.8% | 0.09 | 0.00 | 1.0x | 87 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=1.9 |
-0.5% | -75.8% | 0.08 | -0.01 | 0.9x | 171 | 43% |
| MACD fast=12, slow=40, signal=14 |
-2.2% | -80.8% | 0.04 | -0.03 | 0.6x | 379 | 52% |
| Buy and hold | 12.2% | -70.0% | 0.50 | 0.17 | 19.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 50-day average falls below the 206-day average