Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Tokyu Fudosan Holdings Corp. backtest

10 trend-following strategies were compared on the full daily history of Tokyu Fudosan Holdings Corp.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -18.1%).

Data 2013-10-01 ~ 2026-07-31daily bars 3,153 (12.8 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 1.9%, drawdown -61.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -25.1%, Sharpe 0.44, 19% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -32.2%, exposure 49%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 2.3%, MDD -18.1%, exposure 9%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=64, k=2.9
4.3%-25.1%0.440.171.7x1619%
Donchian 채널 돌파
entryN=79, exitN=59
5.9%-32.2%0.410.182.1x1849%
SMA 크로스오버
fast=80, slow=159
4.7%-46.2%0.320.101.8x1852%
ADX / DI 방향성
period=16, threshold=31
2.3%-18.1%0.320.131.3x209%
Keltner 채널 돌파
emaPeriod=21, atrPeriod=13, mult=2.9
2.5%-27.0%0.300.091.4x3614%
EMA 크로스오버
fast=41, slow=227
-0.5%-54.4%0.08-0.010.9x1953%
ROC 모멘텀
n=98, threshold=0.01
-1.2%-52.5%0.03-0.020.9x11852%
Supertrend
period=19, mult=2.4
-2.9%-54.7%-0.03-0.050.7x13153%
Parabolic SAR
step=0.005, maxStep=0.2
-3.0%-64.8%-0.05-0.050.7x9955%
MACD
fast=16, slow=24, signal=16
-3.9%-61.4%-0.10-0.060.6x19149%
Buy and hold1.9%-61.8%0.220.031.3x1100%
1x 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -15% -31% -46% -62% 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -25.1% (2023-09-19 → 2025-08-04), recovered after 847 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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