Trend-Following Backtester · Guide · backtest 한국어

equity · JP

NSK Ltd. backtest

10 trend-following strategies were compared on the full daily history of NSK Ltd.. 8 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 6.4%, MDD -34.4%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 1.9%, drawdown -78.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -34.4%, Sharpe 0.43, 28% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.6%, MDD -57.5%, exposure 44%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 6.4%, MDD -34.4%, exposure 28%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=108, exitN=28
6.4%-34.4%0.430.185.1x5228%
볼린저 밴드 돌파
n=78, k=1
6.6%-57.5%0.400.125.5x10844%
SMA 크로스오버
fast=27, slow=198
6.6%-57.6%0.380.115.4x4351%
EMA 크로스오버
fast=36, slow=78
6.1%-54.0%0.360.114.8x7451%
Keltner 채널 돌파
emaPeriod=77, atrPeriod=18, mult=1.8
5.4%-69.2%0.350.084.0x12642%
Supertrend
period=29, mult=4.4
5.5%-63.5%0.340.094.2x11650%
ROC 모멘텀
n=60, threshold=0.04
2.9%-60.3%0.240.052.2x31445%
MACD
fast=16, slow=72, signal=23
2.8%-57.3%0.240.052.1x23052%
ADX / DI 방향성
period=29, threshold=30
0.7%-26.3%0.170.031.2x82%
Parabolic SAR
step=0.01, maxStep=0.22
0.5%-71.7%0.150.011.1x35453%
Buy and hold1.9%-78.7%0.240.021.6x1100%
1x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -20% -39% -59% -79% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -34.4% (2007-06-07 → 2012-12-14), recovered after 2,164 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next