Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Dentsu Group Inc. backtest

10 trend-following strategies were compared on the full daily history of Dentsu Group Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.4%, MDD -51.2%).

Data 2001-11-30 ~ 2026-07-31daily bars 6,134 (24.7 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 1.7%, drawdown -73.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.4%, MDD -64.4%, Sharpe 0.19, 71% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 1.4%, MDD -51.2%, exposure 50%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=40, exitN=88
1.4%-64.4%0.190.021.4x4371%
SMA 크로스오버
fast=31, slow=181
1.4%-51.2%0.180.031.4x4950%
EMA 크로스오버
fast=62, slow=189
0.8%-59.7%0.150.011.2x3549%
Keltner 채널 돌파
emaPeriod=6, atrPeriod=13, mult=3
0.2%-8.7%0.080.031.1x60%
ADX / DI 방향성
period=36, threshold=16
-0.3%-46.3%0.06-0.010.9x6816%
볼린저 밴드 돌파
n=20, k=2.6
-0.3%-41.3%0.04-0.010.9x9914%
ROC 모멘텀
n=175, threshold=-0.04
-2.3%-71.3%0.02-0.030.6x18957%
Supertrend
period=10, mult=3.9
-3.8%-80.6%-0.04-0.050.4x14354%
MACD
fast=15, slow=43, signal=18
-5.2%-81.6%-0.11-0.060.3x30551%
Parabolic SAR
step=0.005, maxStep=0.32
-9.1%-94.1%-0.30-0.100.1x20751%
Buy and hold1.7%-73.8%0.220.021.5x1100%
1x 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -74% 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -64.4% (2015-08-11 → 2026-05-07), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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