Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NIKKON Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of NIKKON Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.4%, MDD -44.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -59.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -44.9%, Sharpe 0.49, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 8.4%, MDD -44.9%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=289 |
8.4% | -44.9% | 0.49 | 0.19 | 7.9x | 25 | 65% |
| SMA 크로스오버 fast=36, slow=190 |
8.1% | -44.4% | 0.48 | 0.18 | 7.4x | 43 | 60% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.7% | -3.6% | 0.47 | 0.20 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=23, mult=3.9 |
5.4% | -28.6% | 0.44 | 0.19 | 3.8x | 44 | 24% |
| Donchian 채널 돌파 entryN=88, exitN=76 |
6.0% | -48.1% | 0.39 | 0.12 | 4.5x | 35 | 55% |
| ROC 모멘텀 n=161, threshold=-0.07 |
5.7% | -66.2% | 0.36 | 0.09 | 4.1x | 173 | 76% |
| ADX / DI 방향성 period=22, threshold=22 |
1.6% | -33.1% | 0.20 | 0.05 | 1.5x | 78 | 16% |
| Supertrend period=13, mult=2.9 |
0.0% | -82.9% | 0.11 | 0.00 | 1.0x | 197 | 60% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.8% | -77.4% | 0.01 | -0.02 | 0.6x | 454 | 56% |
| MACD fast=16, slow=33, signal=17 |
-3.0% | -81.1% | -0.06 | -0.04 | 0.5x | 345 | 51% |
| Buy and hold | 11.2% | -59.9% | 0.52 | 0.19 | 15.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 289-day EMA
- Sell — Sell when the 44-day EMA falls below the 289-day EMA