Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nintendo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nintendo Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -53.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.3%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -53.0%, Sharpe 0.47, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 9.4%, MDD -53.0%, exposure 54%).
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=214 |
9.4% | -53.0% | 0.47 | 0.18 | 10.0x | 34 | 54% |
| EMA 크로스오버 fast=39, slow=188 |
8.9% | -55.5% | 0.45 | 0.16 | 9.0x | 34 | 55% |
| ROC 모멘텀 n=134, threshold=0.03 |
6.6% | -70.3% | 0.38 | 0.09 | 5.1x | 172 | 49% |
| Donchian 채널 돌파 entryN=83, exitN=72 |
5.9% | -75.8% | 0.35 | 0.08 | 4.3x | 39 | 54% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
4.3% | -59.1% | 0.29 | 0.07 | 3.0x | 167 | 41% |
| ADX / DI 방향성 period=23, threshold=35 |
1.6% | -14.7% | 0.27 | 0.11 | 1.5x | 20 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.3 |
3.8% | -61.9% | 0.27 | 0.06 | 2.6x | 181 | 45% |
| Supertrend period=21, mult=4.9 |
3.6% | -77.8% | 0.26 | 0.05 | 2.5x | 103 | 52% |
| MACD fast=9, slow=49, signal=19 |
0.1% | -76.5% | 0.14 | 0.00 | 1.0x | 331 | 50% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-5.1% | -91.0% | -0.06 | -0.06 | 0.3x | 583 | 50% |
| Buy and hold | 6.3% | -88.7% | 0.35 | 0.07 | 4.7x | 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 214-day average
- Sell — Sell (to cash) when the 27-day average falls below the 214-day average