Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Forestry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Forestry 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 6.6%, drawdown -63.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.4%, MDD -66.6%, Sharpe 0.30, 81% 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=14, exitN=79 |
4.4% | -66.6% | 0.30 | 0.07 | 3.0x | 77 | 81% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
0.8% | -7.1% | 0.24 | 0.12 | 1.2x | 10 | 2% |
| SMA 크로스오버 fast=18, slow=67 |
2.3% | -55.2% | 0.21 | 0.04 | 1.8x | 117 | 55% |
| ADX / DI 방향성 period=35, threshold=23 |
1.0% | -17.3% | 0.18 | 0.06 | 1.3x | 12 | 3% |
| Supertrend period=15, mult=3.8 |
1.1% | -69.8% | 0.16 | 0.02 | 1.3x | 149 | 51% |
| EMA 크로스오버 fast=13, slow=93 |
0.8% | -77.0% | 0.15 | 0.01 | 1.2x | 104 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.5% | -69.7% | 0.14 | 0.01 | 1.1x | 207 | 52% |
| MACD fast=18, slow=56, signal=23 |
0.4% | -75.6% | 0.13 | 0.00 | 1.1x | 217 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=2.2 |
0.5% | -41.0% | 0.11 | 0.01 | 1.1x | 160 | 25% |
| ROC 모멘텀 n=37, threshold=-0.02 |
-2.3% | -86.5% | 0.03 | -0.03 | 0.6x | 403 | 61% |
| Buy and hold | 6.6% | -63.3% | 0.36 | 0.10 | 5.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 79 days