Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MACNICA HOLDINGS INC. backtest
10 trend-following strategies were compared on the full daily history of MACNICA HOLDINGS INC.. 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 18.7%, MDD -44.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.6%, drawdown -62.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.7%, MDD -44.0%, Sharpe 0.79, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 18.7%, MDD -44.0%, exposure 52%).
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=114, exitN=77 |
18.7% | -44.0% | 0.79 | 0.42 | 7.0x | 9 | 52% |
| EMA 크로스오버 fast=48, slow=210 |
17.8% | -63.3% | 0.74 | 0.28 | 6.4x | 7 | 59% |
| SMA 크로스오버 fast=27, slow=205 |
17.7% | -59.8% | 0.74 | 0.30 | 6.3x | 13 | 57% |
| ROC 모멘텀 n=108, threshold=-0.03 |
15.0% | -60.4% | 0.63 | 0.25 | 4.9x | 85 | 65% |
| ADX / DI 방향성 period=26, threshold=32 |
4.8% | -12.4% | 0.53 | 0.38 | 1.7x | 4 | 6% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
5.4% | -17.1% | 0.52 | 0.32 | 1.8x | 14 | 10% |
| Supertrend period=27, mult=4.8 |
8.4% | -52.6% | 0.43 | 0.16 | 2.5x | 43 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=1.3 |
4.9% | -56.8% | 0.32 | 0.09 | 1.7x | 88 | 52% |
| MACD fast=13, slow=35, signal=15 |
0.9% | -60.7% | 0.17 | 0.02 | 1.1x | 162 | 53% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-0.5% | -63.1% | 0.11 | -0.01 | 0.9x | 238 | 54% |
| Buy and hold | 17.6% | -62.6% | 0.63 | 0.28 | 6.3x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 77 days