Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nichias Corporation backtest
10 trend-following strategies were compared on the full daily history of Nichias Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -51.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.5%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -51.1%, Sharpe 0.61, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.9%, MDD -61.1%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 12.8%, MDD -51.1%, exposure 61%).
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=35, slow=166 |
12.8% | -51.1% | 0.61 | 0.25 | 21.6x | 41 | 61% |
| ROC 모멘텀 Hold-like · Exposure 98% n=13, threshold=-0.15 |
13.9% | -61.1% | 0.56 | 0.23 | 27.7x | 57 | 98% |
| EMA 크로스오버 fast=41, slow=100 |
11.1% | -56.3% | 0.56 | 0.20 | 14.9x | 51 | 63% |
| Donchian 채널 돌파 entryN=109, exitN=34 |
9.3% | -40.5% | 0.55 | 0.23 | 9.6x | 50 | 41% |
| 볼린저 밴드 돌파 n=75, k=2.3 |
6.5% | -38.0% | 0.44 | 0.17 | 5.0x | 66 | 35% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=25, mult=3.8 |
4.7% | -52.0% | 0.36 | 0.09 | 3.3x | 70 | 32% |
| ADX / DI 방향성 period=35, threshold=18 |
3.5% | -31.9% | 0.31 | 0.11 | 2.4x | 66 | 21% |
| Supertrend period=19, mult=5 |
3.6% | -64.9% | 0.27 | 0.06 | 2.5x | 88 | 62% |
| MACD fast=19, slow=36, signal=20 |
-2.2% | -76.5% | 0.03 | -0.03 | 0.6x | 302 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.5% | -71.8% | 0.02 | -0.04 | 0.5x | 322 | 56% |
| Buy and hold | 11.5% | -87.0% | 0.48 | 0.13 | 16.1x | 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 35-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 35-day average falls below the 166-day average