Trend-Following Backtester · Guide · backtest 한국어
equity · JP
North Pacific Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of North Pacific Bank, Ltd.. 1 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 13.2%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -71.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -54.2%, Sharpe 0.55, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 13.2%, MDD -54.2%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=65 |
13.2% | -54.2% | 0.55 | 0.24 | 5.6x | 47 | 85% |
| SMA 크로스오버 fast=43, slow=168 |
11.5% | -53.1% | 0.55 | 0.22 | 4.5x | 21 | 57% |
| Supertrend period=9, mult=4.7 |
10.3% | -57.7% | 0.50 | 0.18 | 3.9x | 47 | 60% |
| EMA 크로스오버 fast=54, slow=97 |
8.2% | -60.5% | 0.43 | 0.14 | 3.0x | 29 | 60% |
| ROC 모멘텀 n=113, threshold=-0.02 |
7.7% | -61.1% | 0.41 | 0.13 | 2.8x | 81 | 62% |
| ADX / DI 방향성 period=29, threshold=11 |
2.9% | -49.2% | 0.24 | 0.06 | 1.5x | 160 | 43% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
2.1% | -23.0% | 0.23 | 0.09 | 1.3x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3.9 |
2.0% | -41.4% | 0.20 | 0.05 | 1.3x | 31 | 21% |
| MACD fast=12, slow=36, signal=10 |
0.3% | -70.3% | 0.13 | 0.00 | 1.0x | 232 | 50% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-0.7% | -63.7% | 0.10 | -0.01 | 0.9x | 405 | 52% |
| Buy and hold | 12.5% | -71.6% | 0.52 | 0.17 | 5.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 65 days