Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Nishi-Nippon Financial Holdings, Inc. backtest

10 trend-following strategies were compared on the full daily history of Nishi-Nippon Financial Holdings, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -18.5%).

Data 2001-01-01 ~ 2026-07-31daily bars 6,373 (25.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 2.7%, drawdown -87.5%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -18.5%, Sharpe 0.42, 3% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 4.8%, MDD -70.2%, exposure 46%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 69.1%p (CAGR 3.1%, MDD -18.5%, exposure 3%).

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
볼린저 밴드 돌파
n=20, k=3.2
3.1%-18.5%0.420.172.2x163%
ADX / DI 방향성
period=19, threshold=32
3.8%-23.6%0.400.162.6x326%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=11, mult=2.9
4.0%-40.0%0.320.102.7x8823%
EMA 크로스오버
fast=46, slow=289
4.8%-70.2%0.320.073.3x3146%
SMA 크로스오버
fast=53, slow=149
3.4%-71.2%0.260.052.4x4749%
Donchian 채널 돌파
entryN=111, exitN=79
1.1%-76.0%0.160.011.3x3337%
ROC 모멘텀
n=148, threshold=0.14
0.9%-54.5%0.140.021.3x16528%
Supertrend
period=8, mult=4.2
-0.2%-84.2%0.12-0.000.9x11352%
Parabolic SAR
step=0.005, maxStep=0.36
-3.4%-91.1%-0.00-0.040.4x19751%
MACD
fast=13, slow=46, signal=27
-3.5%-91.2%-0.01-0.040.4x28052%
Buy and hold2.7%-87.5%0.260.032.0x1100%
1x 2002 2006 2010 2014 2018 2022 2026 EMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 2002 2006 2010 2014 2018 2022 2026 Buy and holdEMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -18.5% (2005-11-18 → 2024-11-11), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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