Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hulic Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hulic Co., Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -47.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -47.7%, Sharpe 0.57, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, MDD -52.5%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 11.2%, MDD -47.7%, exposure 44%).
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=104, exitN=76 |
11.2% | -47.7% | 0.57 | 0.23 | 15.0x | 24 | 44% |
| SMA 크로스오버 fast=58, slow=198 |
11.4% | -52.5% | 0.55 | 0.22 | 15.7x | 30 | 51% |
| EMA 크로스오버 fast=59, slow=176 |
9.0% | -57.5% | 0.46 | 0.16 | 9.0x | 29 | 53% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
3.8% | -39.2% | 0.31 | 0.10 | 2.6x | 53 | 15% |
| ADX / DI 방향성 period=21, threshold=21 |
4.1% | -44.7% | 0.31 | 0.09 | 2.8x | 130 | 22% |
| ROC 모멘텀 n=88, threshold=0.08 |
3.4% | -70.1% | 0.26 | 0.05 | 2.4x | 220 | 34% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=3.1 |
2.1% | -47.2% | 0.22 | 0.04 | 1.7x | 68 | 10% |
| Supertrend period=25, mult=4 |
0.5% | -84.9% | 0.15 | 0.01 | 1.1x | 149 | 53% |
| Parabolic SAR step=0.01, maxStep=0.24 |
0.1% | -83.5% | 0.13 | 0.00 | 1.0x | 309 | 53% |
| MACD fast=18, slow=22, signal=17 |
-2.3% | -86.9% | 0.04 | -0.03 | 0.6x | 355 | 51% |
| Buy and hold | 6.1% | -92.5% | 0.35 | 0.07 | 4.6x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 76 days