Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Television Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nippon Television Holdings, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -11.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -82.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -48.6%, Sharpe 0.20, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 0.2%, MDD -11.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=1.9 |
2.0% | -48.6% | 0.20 | 0.04 | 1.7x | 68 | 30% |
| SMA 크로스오버 fast=42, slow=176 |
1.8% | -54.6% | 0.19 | 0.03 | 1.6x | 40 | 44% |
| Donchian 채널 돌파 entryN=65, exitN=35 |
1.7% | -45.3% | 0.18 | 0.04 | 1.5x | 52 | 37% |
| ROC 모멘텀 n=183, threshold=0.16 |
1.0% | -49.2% | 0.14 | 0.02 | 1.3x | 118 | 23% |
| EMA 크로스오버 fast=16, slow=113 |
0.5% | -66.0% | 0.13 | 0.01 | 1.1x | 68 | 44% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=3.5 |
0.4% | -12.8% | 0.12 | 0.03 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=29, threshold=42 |
0.2% | -11.3% | 0.08 | 0.01 | 1.0x | 2 | 1% |
| Supertrend period=7, mult=4.9 |
-1.6% | -82.7% | 0.02 | -0.02 | 0.7x | 95 | 48% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-6.8% | -92.3% | -0.23 | -0.07 | 0.2x | 319 | 48% |
| MACD fast=13, slow=34, signal=18 |
-10.4% | -96.4% | -0.39 | -0.11 | 0.1x | 373 | 52% |
| Buy and hold | -1.1% | -82.7% | 0.12 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 76-day middle average