Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sojitz Corp. backtest
10 trend-following strategies were compared on the full daily history of Sojitz Corp.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -36.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -95.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.9%, MDD -45.7%, Sharpe 0.51, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 4.9%, MDD -36.0%, exposure 7%).
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=39, k=1.3 |
9.9% | -45.7% | 0.51 | 0.22 | 12.3x | 169 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.4% | -45.1% | 0.46 | 0.21 | 10.9x | 187 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=2 |
6.9% | -40.8% | 0.45 | 0.17 | 5.9x | 152 | 15% |
| ADX / DI 방향성 period=18, threshold=36 |
4.9% | -36.0% | 0.42 | 0.13 | 3.5x | 46 | 7% |
| SMA 크로스오버 fast=37, slow=74 |
6.6% | -61.6% | 0.37 | 0.11 | 5.5x | 94 | 52% |
| EMA 크로스오버 fast=15, slow=35 |
5.9% | -57.9% | 0.34 | 0.10 | 4.5x | 146 | 52% |
| MACD fast=8, slow=79, signal=23 |
5.4% | -70.9% | 0.33 | 0.08 | 4.1x | 307 | 51% |
| Donchian 채널 돌파 entryN=60, exitN=8 |
4.2% | -44.0% | 0.32 | 0.10 | 3.0x | 130 | 20% |
| Supertrend period=29, mult=2.9 |
4.5% | -76.0% | 0.29 | 0.06 | 3.2x | 222 | 51% |
| ROC 모멘텀 n=44, threshold=-0.02 |
3.6% | -69.2% | 0.27 | 0.05 | 2.6x | 375 | 58% |
| Buy and hold | 1.0% | -95.6% | 0.24 | 0.01 | 1.3x | 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 39-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average