Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JGC Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of JGC Holdings Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -44.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -82.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -44.9%, Sharpe 0.45, 39% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.3%, MDD -62.5%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 37.9%p (CAGR 8.0%, MDD -44.9%, exposure 39%).
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=1.5 |
8.0% | -44.9% | 0.45 | 0.18 | 7.9x | 86 | 39% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=26, mult=3.6 |
7.3% | -41.6% | 0.44 | 0.18 | 6.6x | 70 | 32% |
| EMA 크로스오버 fast=32, slow=82 |
8.3% | -62.5% | 0.43 | 0.13 | 8.3x | 66 | 51% |
| Supertrend period=31, mult=4.8 |
8.2% | -62.0% | 0.43 | 0.13 | 8.2x | 102 | 52% |
| SMA 크로스오버 fast=15, slow=113 |
7.3% | -59.0% | 0.40 | 0.12 | 6.5x | 78 | 51% |
| ADX / DI 방향성 period=33, threshold=26 |
4.1% | -25.3% | 0.39 | 0.16 | 2.9x | 18 | 7% |
| Donchian 채널 돌파 entryN=109, exitN=38 |
6.5% | -62.5% | 0.39 | 0.10 | 5.4x | 50 | 36% |
| ROC 모멘텀 n=112, threshold=-0.05 |
3.6% | -74.8% | 0.27 | 0.05 | 2.6x | 243 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.7% | -77.8% | 0.24 | 0.04 | 2.1x | 211 | 52% |
| MACD fast=19, slow=22, signal=15 |
0.1% | -76.1% | 0.14 | 0.00 | 1.0x | 367 | 52% |
| Buy and hold | 8.8% | -82.9% | 0.41 | 0.11 | 9.5x | 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 (1.5× volatility)
- Sell — Sell when the close falls back to the 76-day middle average