Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Yusen Kabushiki Kaisha backtest
10 trend-following strategies were compared on the full daily history of Nippon Yusen Kabushiki Kaisha. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -42.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -90.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -48.8%, Sharpe 0.57, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 6.5%, MDD -42.6%, exposure 21%).
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=31, slow=364 |
11.3% | -48.8% | 0.57 | 0.23 | 10.4x | 15 | 51% |
| 볼린저 밴드 돌파 n=53, k=3 |
6.9% | -49.7% | 0.52 | 0.14 | 4.3x | 26 | 16% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=21, mult=4 |
6.5% | -42.6% | 0.46 | 0.15 | 3.9x | 49 | 21% |
| ADX / DI 방향성 period=39, threshold=27 |
4.4% | -38.7% | 0.46 | 0.11 | 2.5x | 8 | 4% |
| Donchian 채널 돌파 entryN=22, exitN=54 |
9.1% | -61.9% | 0.45 | 0.15 | 6.7x | 71 | 70% |
| SMA 크로스오버 fast=19, slow=125 |
7.9% | -52.9% | 0.43 | 0.15 | 5.3x | 63 | 51% |
| ROC 모멘텀 n=123, threshold=-0.05 |
8.1% | -68.2% | 0.43 | 0.12 | 5.4x | 151 | 62% |
| Supertrend period=20, mult=4.6 |
5.8% | -67.4% | 0.36 | 0.09 | 3.4x | 93 | 48% |
| MACD fast=23, slow=36, signal=18 |
3.3% | -77.5% | 0.26 | 0.04 | 2.0x | 225 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
1.8% | -88.9% | 0.20 | 0.02 | 1.5x | 281 | 52% |
| Buy and hold | 6.5% | -90.9% | 0.36 | 0.07 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 364-day EMA
- Sell — Sell when the 31-day EMA falls below the 364-day EMA