Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Niterra Co.,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Niterra Co.,Ltd.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -39.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.5%, drawdown -78.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -39.7%, Sharpe 0.47, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.5%, MDD -54.9%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 6.5%, MDD -39.7%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=2.5 |
6.5% | -39.7% | 0.47 | 0.16 | 5.0x | 86 | 27% |
| SMA 크로스오버 fast=22, slow=112 |
8.5% | -54.9% | 0.47 | 0.16 | 8.1x | 64 | 55% |
| ADX / DI 방향성 period=37, threshold=26 |
4.0% | -22.1% | 0.47 | 0.18 | 2.7x | 16 | 6% |
| EMA 크로스오버 fast=34, slow=68 |
7.9% | -50.4% | 0.45 | 0.16 | 7.0x | 70 | 56% |
| Donchian 채널 돌파 entryN=35, exitN=34 |
7.3% | -53.3% | 0.43 | 0.14 | 6.1x | 84 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=2.3 |
5.7% | -48.6% | 0.40 | 0.12 | 4.1x | 128 | 37% |
| ROC 모멘텀 n=114, threshold=-0.08 |
5.3% | -74.8% | 0.33 | 0.07 | 3.7x | 205 | 69% |
| Supertrend period=11, mult=4.7 |
5.0% | -62.7% | 0.33 | 0.08 | 3.5x | 106 | 53% |
| MACD fast=17, slow=47, signal=17 |
-3.2% | -79.3% | -0.01 | -0.04 | 0.4x | 316 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.4% | -91.0% | -0.11 | -0.06 | 0.2x | 430 | 54% |
| Buy and hold | 6.5% | -78.8% | 0.36 | 0.08 | 5.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 41-day middle average