Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nidec Corporation backtest
10 trend-following strategies were compared on the full daily history of Nidec Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.9%, MDD -40.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.5%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -49.6%, Sharpe 0.64, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 10.9%, MDD -40.3%, exposure 48%).
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=32, slow=71 |
13.1% | -49.6% | 0.64 | 0.26 | 23.4x | 81 | 56% |
| 볼린저 밴드 돌파 n=64, k=1 |
10.9% | -40.3% | 0.58 | 0.27 | 13.9x | 120 | 48% |
| ADX / DI 방향성 period=27, threshold=31 |
4.3% | -13.2% | 0.56 | 0.32 | 2.9x | 10 | 6% |
| EMA 크로스오버 fast=27, slow=71 |
10.7% | -46.9% | 0.54 | 0.23 | 13.3x | 67 | 57% |
| Donchian 채널 돌파 entryN=40, exitN=45 |
10.1% | -63.8% | 0.52 | 0.16 | 11.6x | 68 | 58% |
| Supertrend period=25, mult=5 |
9.1% | -66.8% | 0.47 | 0.14 | 9.2x | 89 | 57% |
| ROC 모멘텀 n=62, threshold=-0.01 |
7.8% | -58.9% | 0.43 | 0.13 | 6.8x | 269 | 59% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=1.7 |
4.5% | -63.7% | 0.32 | 0.07 | 3.1x | 188 | 42% |
| MACD fast=38, slow=50, signal=31 |
4.0% | -58.8% | 0.28 | 0.07 | 2.7x | 168 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.5% | -73.8% | 0.07 | -0.02 | 0.7x | 214 | 56% |
| Buy and hold | 8.5% | -75.0% | 0.41 | 0.11 | 8.0x | 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 32-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 32-day average falls below the 71-day average