Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sekisui Chemical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sekisui Chemical Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -64.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -44.8%, Sharpe 0.30, 23% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, k=2.7 |
3.4% | -44.8% | 0.30 | 0.07 | 2.3x | 58 | 23% |
| Supertrend period=22, mult=4.1 |
3.2% | -69.0% | 0.26 | 0.05 | 2.3x | 119 | 56% |
| Donchian 채널 돌파 entryN=44, exitN=24 |
2.3% | -60.2% | 0.22 | 0.04 | 1.8x | 99 | 44% |
| SMA 크로스오버 fast=23, slow=86 |
2.2% | -52.3% | 0.21 | 0.04 | 1.8x | 83 | 56% |
| ROC 모멘텀 n=64, threshold=-0.08 |
2.0% | -70.8% | 0.20 | 0.03 | 1.6x | 231 | 78% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=4 |
1.6% | -29.6% | 0.20 | 0.05 | 1.5x | 38 | 11% |
| EMA 크로스오버 fast=36, slow=201 |
1.6% | -58.8% | 0.18 | 0.03 | 1.5x | 53 | 60% |
| ADX / DI 방향성 period=28, threshold=36 |
0.5% | -7.1% | 0.18 | 0.07 | 1.1x | 4 | 1% |
| MACD fast=24, slow=45, signal=31 |
0.7% | -77.4% | 0.14 | 0.01 | 1.2x | 205 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.3% | -69.8% | 0.04 | -0.02 | 0.7x | 219 | 55% |
| Buy and hold | 8.6% | -64.9% | 0.42 | 0.13 | 8.2x | 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 59-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 59-day middle average