Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Oji Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Oji Holdings Corp.. 1 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 1.6%, MDD -49.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.6%, drawdown -73.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.6%, MDD -49.6%, Sharpe 0.18, 38% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 1.6%, MDD -49.6%, exposure 38%).
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=93, exitN=57 |
1.6% | -49.6% | 0.18 | 0.03 | 1.5x | 40 | 38% |
| SMA 크로스오버 fast=23, slow=85 |
1.1% | -68.9% | 0.15 | 0.02 | 1.3x | 83 | 50% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
0.4% | -23.8% | 0.11 | 0.02 | 1.1x | 12 | 4% |
| EMA 크로스오버 fast=53, slow=139 |
-1.0% | -57.7% | 0.05 | -0.02 | 0.8x | 50 | 44% |
| ADX / DI 방향성 period=26, threshold=16 |
-0.7% | -52.7% | 0.03 | -0.01 | 0.8x | 155 | 26% |
| Supertrend period=27, mult=4.7 |
-1.8% | -71.4% | 0.01 | -0.03 | 0.6x | 107 | 48% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=2 |
-2.2% | -72.5% | -0.06 | -0.03 | 0.6x | 163 | 34% |
| ROC 모멘텀 n=110, threshold=0.09 |
-2.5% | -65.1% | -0.07 | -0.04 | 0.5x | 196 | 30% |
| MACD fast=22, slow=37, signal=19 |
-4.4% | -85.7% | -0.13 | -0.05 | 0.3x | 285 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-5.2% | -88.2% | -0.17 | -0.06 | 0.2x | 523 | 51% |
| Buy and hold | 1.6% | -73.4% | 0.20 | 0.02 | 1.5x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 57 days