Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyota Boshoku Corp. backtest
10 trend-following strategies were compared on the full daily history of Toyota Boshoku Corp.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -42.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -47.3%, Sharpe 0.59, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 5.1%, MDD -42.0%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=0.13 |
10.4% | -47.3% | 0.59 | 0.22 | 12.7x | 114 | 34% |
| Donchian 채널 돌파 entryN=101, exitN=75 |
8.5% | -53.2% | 0.46 | 0.16 | 8.0x | 32 | 46% |
| ADX / DI 방향성 period=21, threshold=25 |
4.3% | -25.9% | 0.43 | 0.17 | 3.0x | 62 | 11% |
| SMA 크로스오버 fast=47, slow=88 |
7.8% | -63.1% | 0.42 | 0.12 | 6.8x | 74 | 55% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=3.7 |
5.1% | -42.0% | 0.41 | 0.12 | 3.6x | 58 | 15% |
| EMA 크로스오버 fast=47, slow=55 |
6.0% | -64.6% | 0.36 | 0.09 | 4.4x | 68 | 52% |
| 볼린저 밴드 돌파 n=21, k=3 |
3.0% | -34.8% | 0.35 | 0.09 | 2.2x | 46 | 8% |
| Supertrend period=24, mult=2.6 |
3.5% | -63.5% | 0.26 | 0.05 | 2.4x | 263 | 52% |
| MACD fast=27, slow=42, signal=24 |
2.7% | -59.8% | 0.23 | 0.05 | 2.0x | 219 | 51% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.2% | -65.6% | 0.07 | -0.02 | 0.7x | 501 | 51% |
| Buy and hold | 5.2% | -84.0% | 0.32 | 0.06 | 3.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than 13%
- Sell — Sell when the 147-day return drops to 13% or below