Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyo Suisan Kaisha, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toyo Suisan Kaisha, 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 10.2%, drawdown -47.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -28.9%, Sharpe 0.37, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -45.5%, exposure 56%.
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=66, k=3.5 |
3.1% | -28.9% | 0.37 | 0.11 | 2.2x | 18 | 11% |
| SMA 크로스오버 fast=16, slow=90 |
4.5% | -45.5% | 0.32 | 0.10 | 3.1x | 95 | 56% |
| Donchian 채널 돌파 entryN=27, exitN=67 |
3.1% | -52.3% | 0.25 | 0.06 | 2.2x | 69 | 75% |
| Supertrend period=10, mult=5 |
2.7% | -40.9% | 0.23 | 0.07 | 2.0x | 81 | 57% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=3.6 |
1.8% | -43.0% | 0.20 | 0.04 | 1.6x | 64 | 21% |
| ADX / DI 방향성 period=33, threshold=34 |
0.4% | -9.4% | 0.14 | 0.04 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=48, slow=102 |
0.3% | -50.2% | 0.12 | 0.01 | 1.1x | 60 | 59% |
| ROC 모멘텀 n=81, threshold=-0.03 |
-0.8% | -56.6% | 0.08 | -0.01 | 0.8x | 265 | 66% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.3% | -74.7% | -0.01 | -0.03 | 0.5x | 321 | 52% |
| MACD fast=14, slow=35, signal=17 |
-3.1% | -70.6% | -0.06 | -0.04 | 0.5x | 341 | 51% |
| Buy and hold | 10.2% | -47.0% | 0.49 | 0.22 | 12.0x | 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 66-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 66-day middle average