Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NHK Spring Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of NHK Spring Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -56.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -81.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -56.0%, Sharpe 0.44, 38% exposure.
CAGR reference leader: Supertrend — CAGR 7.9%, MDD -70.2%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 7.4%, MDD -56.0%, exposure 38%).
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=101, exitN=41 |
7.4% | -56.0% | 0.44 | 0.13 | 6.3x | 48 | 38% |
| Supertrend period=17, mult=5 |
7.9% | -70.2% | 0.43 | 0.11 | 7.0x | 83 | 54% |
| SMA 크로스오버 fast=45, slow=165 |
7.9% | -64.7% | 0.42 | 0.12 | 6.9x | 39 | 53% |
| EMA 크로스오버 fast=34, slow=35 |
7.6% | -69.4% | 0.42 | 0.11 | 6.5x | 101 | 55% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
4.7% | -27.5% | 0.40 | 0.17 | 3.2x | 30 | 13% |
| ADX / DI 방향성 period=27, threshold=24 |
2.5% | -37.7% | 0.26 | 0.07 | 1.9x | 36 | 10% |
| ROC 모멘텀 n=86, threshold=0.09 |
3.1% | -68.5% | 0.25 | 0.05 | 2.2x | 299 | 38% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=1.8 |
2.7% | -61.1% | 0.23 | 0.04 | 2.0x | 166 | 41% |
| MACD fast=13, slow=48, signal=19 |
1.1% | -71.9% | 0.17 | 0.02 | 1.3x | 306 | 52% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.7% | -88.4% | -0.02 | -0.04 | 0.4x | 386 | 55% |
| Buy and hold | 8.0% | -81.0% | 0.40 | 0.10 | 7.2x | 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 101 days
- Sell — Sell when price breaks below the lowest low of the last 41 days