Trend-Following Backtester · Guide · backtest 한국어
equity · JP
J. FRONT RETAILING Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of J. FRONT RETAILING Co., Ltd.. 1 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 8.8%, MDD -52.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -79.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -52.2%, Sharpe 0.47, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 8.8%, MDD -52.2%, exposure 45%).
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=33, k=0.9 |
8.8% | -52.2% | 0.47 | 0.17 | 9.4x | 248 | 45% |
| MACD fast=31, slow=37, signal=18 |
6.7% | -61.3% | 0.38 | 0.11 | 5.6x | 254 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.8% | -76.4% | 0.35 | 0.08 | 4.5x | 438 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=29, mult=1.5 |
4.7% | -58.8% | 0.32 | 0.08 | 3.3x | 258 | 35% |
| EMA 크로스오버 fast=42, slow=102 |
4.9% | -56.7% | 0.32 | 0.09 | 3.5x | 53 | 55% |
| ROC 모멘텀 n=173, threshold=-0.04 |
4.8% | -57.7% | 0.31 | 0.08 | 3.5x | 179 | 62% |
| ADX / DI 방향성 period=23, threshold=33 |
2.1% | -20.0% | 0.30 | 0.11 | 1.7x | 20 | 4% |
| SMA 크로스오버 fast=12, slow=193 |
4.3% | -57.7% | 0.29 | 0.08 | 3.1x | 75 | 55% |
| Donchian 채널 돌파 entryN=32, exitN=20 |
4.1% | -63.5% | 0.29 | 0.06 | 2.9x | 129 | 44% |
| Supertrend period=10, mult=3.6 |
4.1% | -62.3% | 0.28 | 0.07 | 2.9x | 168 | 54% |
| Buy and hold | 7.0% | -79.1% | 0.37 | 0.09 | 6.0x | 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 33-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 33-day middle average