Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Gas Chemical Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Gas Chemical Company, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 6.9%, MDD -45.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.8%, drawdown -82.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -54.1%, Sharpe 0.50, 39% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 6.9%, MDD -45.3%, exposure 54%).
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=96, exitN=49 |
9.0% | -54.1% | 0.50 | 0.17 | 6.5x | 36 | 39% |
| ADX / DI 방향성 period=21, threshold=16 |
7.8% | -58.0% | 0.46 | 0.13 | 5.1x | 186 | 38% |
| ROC 모멘텀 n=108, threshold=0.05 |
7.3% | -52.3% | 0.42 | 0.14 | 4.6x | 156 | 44% |
| SMA 크로스오버 fast=38, slow=137 |
7.5% | -54.6% | 0.41 | 0.14 | 4.8x | 42 | 51% |
| Supertrend period=19, mult=4.9 |
7.1% | -59.2% | 0.40 | 0.12 | 4.5x | 80 | 56% |
| Parabolic SAR step=0.015, maxStep=0.02 |
6.9% | -45.3% | 0.39 | 0.15 | 4.2x | 114 | 54% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=19, mult=2.5 |
5.9% | -50.4% | 0.38 | 0.12 | 3.5x | 90 | 38% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
4.1% | -27.9% | 0.35 | 0.15 | 2.4x | 28 | 16% |
| EMA 크로스오버 fast=8, slow=124 |
5.4% | -56.2% | 0.34 | 0.10 | 3.2x | 96 | 53% |
| MACD fast=19, slow=53, signal=15 |
-0.6% | -62.2% | 0.10 | -0.01 | 0.9x | 260 | 51% |
| Buy and hold | 6.8% | -82.1% | 0.37 | 0.08 | 4.2x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 49 days