Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MatsukiyoCocokara & Co. backtest
10 trend-following strategies were compared on the full daily history of MatsukiyoCocokara & Co.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -63.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -62.3%, Sharpe 0.33, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=62 |
5.0% | -62.3% | 0.33 | 0.08 | 3.5x | 51 | 59% |
| SMA 크로스오버 fast=49, slow=145 |
4.4% | -74.2% | 0.30 | 0.06 | 3.0x | 48 | 53% |
| Supertrend period=27, mult=5 |
4.3% | -60.5% | 0.30 | 0.07 | 2.9x | 77 | 57% |
| EMA 크로스오버 fast=18, slow=42 |
2.8% | -63.6% | 0.24 | 0.04 | 2.0x | 123 | 55% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=34, mult=3.1 |
1.8% | -48.7% | 0.19 | 0.04 | 1.6x | 79 | 31% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
1.3% | -61.0% | 0.17 | 0.02 | 1.4x | 141 | 43% |
| MACD fast=19, slow=47, signal=19 |
1.1% | -60.0% | 0.16 | 0.02 | 1.3x | 265 | 51% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-0.8% | -68.9% | 0.08 | -0.01 | 0.8x | 355 | 53% |
| ADX / DI 방향성 period=39, threshold=21 |
0.2% | -36.9% | 0.07 | 0.01 | 1.1x | 26 | 10% |
| ROC 모멘텀 n=132, threshold=-0.01 |
-1.5% | -84.3% | 0.05 | -0.02 | 0.7x | 229 | 58% |
| Buy and hold | 9.0% | -63.8% | 0.43 | 0.14 | 9.1x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 62 days