Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Iida Group Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Iida Group Holdings Co., Ltd.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.7%, MDD -36.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -55.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.5%, MDD -13.7%, Sharpe 0.59, 2% exposure.
CAGR reference leader: Supertrend — CAGR 7.1%, MDD -53.8%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 42.1%p (CAGR 6.7%, MDD -36.0%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=9, mult=3 |
3.5% | -13.7% | 0.59 | 0.26 | 1.7x | 6 | 2% |
| ROC 모멘텀 n=135, threshold=0.23 |
6.7% | -36.0% | 0.52 | 0.18 | 2.7x | 48 | 16% |
| Supertrend period=25, mult=3.5 |
7.1% | -53.8% | 0.42 | 0.13 | 2.9x | 93 | 57% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
4.1% | -24.2% | 0.42 | 0.17 | 1.9x | 14 | 10% |
| ADX / DI 방향성 period=18, threshold=42 |
2.0% | -19.9% | 0.36 | 0.10 | 1.4x | 6 | 2% |
| Donchian 채널 돌파 entryN=13, exitN=77 |
5.0% | -54.3% | 0.32 | 0.09 | 2.1x | 45 | 83% |
| MACD fast=23, slow=74, signal=30 |
4.3% | -57.5% | 0.31 | 0.07 | 1.9x | 109 | 52% |
| SMA 크로스오버 fast=16, slow=164 |
4.1% | -50.9% | 0.29 | 0.08 | 1.8x | 36 | 51% |
| EMA 크로스오버 fast=30, slow=109 |
3.0% | -55.9% | 0.25 | 0.05 | 1.6x | 36 | 51% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-5.5% | -84.9% | -0.15 | -0.07 | 0.4x | 359 | 53% |
| Buy and hold | 6.1% | -55.8% | 0.35 | 0.11 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 8-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average