Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toray Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Toray Industries, Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -21.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.5%, drawdown -68.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -21.6%, Sharpe 0.42, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -46.7%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 46.6%p (CAGR 3.8%, MDD -21.6%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=3.3 |
3.8% | -21.6% | 0.42 | 0.18 | 2.7x | 23 | 10% |
| SMA 크로스오버 fast=46, slow=177 |
5.2% | -46.7% | 0.34 | 0.11 | 3.9x | 49 | 54% |
| ROC 모멘텀 n=113, threshold=-0.11 |
3.6% | -59.9% | 0.27 | 0.06 | 2.6x | 161 | 79% |
| Donchian 채널 돌파 entryN=44, exitN=102 |
3.4% | -58.4% | 0.26 | 0.06 | 2.5x | 43 | 69% |
| EMA 크로스오버 fast=42, slow=217 |
3.4% | -63.6% | 0.26 | 0.05 | 2.4x | 47 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=3.7 |
2.3% | -47.4% | 0.23 | 0.05 | 1.8x | 65 | 20% |
| ADX / DI 방향성 period=22, threshold=33 |
1.1% | -21.3% | 0.20 | 0.05 | 1.3x | 20 | 3% |
| Supertrend period=26, mult=4.6 |
-2.2% | -81.2% | -0.01 | -0.03 | 0.5x | 115 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.4% | -80.2% | -0.01 | -0.03 | 0.5x | 207 | 51% |
| MACD fast=23, slow=35, signal=23 |
-4.4% | -88.3% | -0.11 | -0.05 | 0.3x | 289 | 52% |
| Buy and hold | 4.5% | -68.3% | 0.30 | 0.07 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 51-day middle average