Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Noritake Co.,Limited backtest
10 trend-following strategies were compared on the full daily history of Noritake Co.,Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -11.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.1%, drawdown -77.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -30.9%, Sharpe 0.49, 29% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -59.4%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 2.8%, MDD -11.1%, exposure 4%).
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=69, exitN=19 |
6.8% | -30.9% | 0.49 | 0.22 | 5.4x | 60 | 29% |
| ADX / DI 방향성 period=24, threshold=37 |
2.8% | -11.1% | 0.47 | 0.25 | 2.0x | 12 | 4% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
5.9% | -34.1% | 0.45 | 0.17 | 4.3x | 82 | 26% |
| SMA 크로스오버 fast=26, slow=182 |
6.8% | -59.4% | 0.41 | 0.12 | 5.4x | 47 | 46% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=3.6 |
4.8% | -29.1% | 0.40 | 0.17 | 3.3x | 66 | 23% |
| EMA 크로스오버 fast=25, slow=151 |
5.6% | -63.4% | 0.35 | 0.09 | 4.0x | 47 | 47% |
| Supertrend period=7, mult=4.6 |
3.1% | -81.0% | 0.25 | 0.04 | 2.2x | 96 | 48% |
| ROC 모멘텀 n=106, threshold=0.07 |
2.8% | -60.1% | 0.24 | 0.05 | 2.0x | 196 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.6% | -69.3% | 0.18 | 0.02 | 1.5x | 188 | 51% |
| MACD fast=16, slow=45, signal=9 |
-3.5% | -75.5% | -0.06 | -0.05 | 0.4x | 380 | 51% |
| Buy and hold | 3.1% | -77.7% | 0.26 | 0.04 | 2.2x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 19 days