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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.1%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.3%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -53.1%, Sharpe 0.58, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.1%, MDD -54.2%, exposure 85%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 18.5%p (CAGR 14.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=168 |
12.3% | -53.1% | 0.58 | 0.23 | 5.0x | 21 | 57% |
| Donchian 채널 돌파 entryN=9, exitN=65 |
14.1% | -54.2% | 0.58 | 0.26 | 6.3x | 47 | 85% |
| Supertrend period=9, mult=4.7 |
11.1% | -57.7% | 0.53 | 0.19 | 4.3x | 47 | 60% |
| EMA 크로스오버 fast=54, slow=97 |
9.1% | -60.5% | 0.46 | 0.15 | 3.3x | 29 | 60% |
| ROC 모멘텀 n=113, threshold=-0.02 |
8.5% | -61.1% | 0.44 | 0.14 | 3.1x | 81 | 62% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3.9 |
2.9% | -41.4% | 0.25 | 0.07 | 1.5x | 31 | 21% |
| ADX / DI 방향성 period=29, threshold=11 |
3.2% | -49.2% | 0.25 | 0.06 | 1.5x | 163 | 43% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
2.1% | -23.0% | 0.23 | 0.09 | 1.3x | 16 | 11% |
| MACD fast=12, slow=36, signal=10 |
-0.2% | -70.3% | 0.11 | -0.00 | 1.0x | 234 | 50% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-0.8% | -63.7% | 0.09 | -0.01 | 0.9x | 409 | 52% |
| Buy and hold | 13.3% | -71.6% | 0.54 | 0.19 | 5.7x | 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 43-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 43-day average falls below the 168-day average