Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nabtesco Corporation backtest
10 trend-following strategies were compared on the full daily history of Nabtesco Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -50.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.3%, drawdown -76.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -50.0%, Sharpe 0.58, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 13.4%, MDD -50.0%, exposure 59%).
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=27, slow=120 |
13.4% | -50.0% | 0.58 | 0.27 | 24.7x | 53 | 59% |
| EMA 크로스오버 fast=38, slow=73 |
11.6% | -68.3% | 0.52 | 0.17 | 16.5x | 55 | 61% |
| Donchian 채널 돌파 entryN=110, exitN=63 |
10.0% | -52.0% | 0.49 | 0.19 | 11.3x | 33 | 51% |
| ADX / DI 방향성 period=48, threshold=14 |
5.7% | -42.2% | 0.39 | 0.13 | 4.1x | 56 | 21% |
| ROC 모멘텀 n=97, threshold=-0.01 |
6.8% | -67.9% | 0.37 | 0.10 | 5.3x | 245 | 61% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
1.9% | -28.0% | 0.25 | 0.07 | 1.6x | 18 | 5% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=4 |
1.4% | -22.4% | 0.24 | 0.06 | 1.4x | 14 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.2% | -77.8% | 0.14 | 0.00 | 1.1x | 206 | 55% |
| Supertrend period=19, mult=3.2 |
-0.3% | -77.1% | 0.13 | -0.00 | 0.9x | 188 | 58% |
| MACD fast=16, slow=49, signal=17 |
-0.5% | -74.6% | 0.12 | -0.01 | 0.9x | 318 | 52% |
| Buy and hold | 12.3% | -76.8% | 0.49 | 0.16 | 19.3x | 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 27-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 27-day average falls below the 120-day average