Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nitori Holdings Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nitori Holdings Co. Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -54.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -54.6%, Sharpe 0.34, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=66, exitN=76 |
5.2% | -54.6% | 0.34 | 0.10 | 3.4x | 39 | 63% |
| SMA 크로스오버 fast=7, slow=165 |
5.0% | -57.9% | 0.33 | 0.09 | 3.2x | 83 | 60% |
| 볼린저 밴드 돌파 n=40, k=1.5 |
4.1% | -56.3% | 0.31 | 0.07 | 2.6x | 155 | 42% |
| EMA 크로스오버 fast=29, slow=91 |
4.1% | -56.6% | 0.29 | 0.07 | 2.6x | 59 | 60% |
| Supertrend period=25, mult=4.8 |
3.8% | -56.1% | 0.28 | 0.07 | 2.4x | 97 | 58% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.3% | -65.2% | 0.26 | 0.05 | 2.2x | 303 | 54% |
| MACD fast=12, slow=41, signal=18 |
3.2% | -52.1% | 0.26 | 0.06 | 2.1x | 309 | 50% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=15, mult=2.5 |
2.2% | -57.2% | 0.21 | 0.04 | 1.7x | 107 | 42% |
| ROC 모멘텀 n=128, threshold=0.01 |
0.8% | -70.4% | 0.15 | 0.01 | 1.2x | 200 | 58% |
| ADX / DI 방향성 period=38, threshold=14 |
0.5% | -51.2% | 0.11 | 0.01 | 1.1x | 111 | 28% |
| Buy and hold | 11.3% | -54.0% | 0.51 | 0.21 | 12.8x | 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 66 days
- Sell — Sell when price breaks below the lowest low of the last 76 days