Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sekisui House, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sekisui House, Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -68.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -21.7%, Sharpe 0.30, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.3%, MDD -45.1%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=3.5 |
1.9% | -21.7% | 0.30 | 0.09 | 1.7x | 14 | 5% |
| ADX / DI 방향성 period=20, threshold=32 |
1.2% | -11.2% | 0.29 | 0.11 | 1.4x | 20 | 3% |
| EMA 크로스오버 fast=24, slow=378 |
3.3% | -45.1% | 0.27 | 0.07 | 2.4x | 41 | 59% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=16, mult=4 |
1.2% | -31.1% | 0.18 | 0.04 | 1.4x | 33 | 8% |
| SMA 크로스오버 fast=24, slow=94 |
1.2% | -46.4% | 0.15 | 0.02 | 1.4x | 83 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=31 |
0.5% | -45.6% | 0.10 | 0.01 | 1.1x | 58 | 29% |
| ROC 모멘텀 n=149, threshold=-0.12 |
-1.0% | -79.7% | 0.07 | -0.01 | 0.8x | 179 | 84% |
| Supertrend period=24, mult=5 |
-2.8% | -71.8% | -0.06 | -0.04 | 0.5x | 101 | 50% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.9% | -84.7% | -0.24 | -0.07 | 0.2x | 405 | 52% |
| MACD fast=18, slow=37, signal=15 |
-7.0% | -91.3% | -0.31 | -0.08 | 0.1x | 347 | 51% |
| Buy and hold | 5.3% | -68.2% | 0.32 | 0.08 | 3.9x | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average