Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Inpex Corporation backtest
10 trend-following strategies were compared on the full daily history of Inpex Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -59.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -85.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -59.8%, Sharpe 0.45, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 9.7%, MDD -59.8%, exposure 86%).
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=11, exitN=83 |
9.7% | -59.8% | 0.45 | 0.16 | 11.8x | 65 | 86% |
| SMA 크로스오버 fast=52, slow=114 |
7.6% | -65.4% | 0.41 | 0.12 | 7.0x | 58 | 54% |
| EMA 크로스오버 fast=61, slow=170 |
5.0% | -80.3% | 0.32 | 0.06 | 3.7x | 41 | 55% |
| MACD fast=17, slow=49, signal=16 |
4.4% | -73.5% | 0.30 | 0.06 | 3.2x | 301 | 53% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
3.4% | -48.7% | 0.28 | 0.07 | 2.4x | 56 | 19% |
| ROC 모멘텀 n=117, threshold=0.05 |
3.1% | -66.5% | 0.25 | 0.05 | 2.3x | 250 | 48% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=3.8 |
2.3% | -66.3% | 0.22 | 0.03 | 1.8x | 70 | 24% |
| Supertrend period=14, mult=2.5 |
2.0% | -86.2% | 0.21 | 0.02 | 1.7x | 277 | 52% |
| ADX / DI 방향성 period=25, threshold=21 |
0.3% | -57.9% | 0.09 | 0.00 | 1.1x | 102 | 16% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-3.6% | -88.1% | -0.01 | -0.04 | 0.4x | 449 | 53% |
| Buy and hold | 7.9% | -85.9% | 0.39 | 0.09 | 7.6x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 83 days