Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Oriental Land Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Oriental Land Co., Ltd.. 0 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 6.5%, MDD -30.5%).

Data 2001-01-01 ~ 2026-07-31daily bars 6,373 (25.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.6%, drawdown -62.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -30.5%, Sharpe 0.59, 27% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -50.5%, exposure 57%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 32.2%p (CAGR 6.5%, MDD -30.5%, exposure 27%).

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=120, exitN=21
6.5%-30.5%0.590.215.0x5127%
ADX / DI 방향성
period=30, threshold=27
3.9%-15.1%0.580.262.7x268%
볼린저 밴드 돌파
n=41, k=2.6
5.7%-27.3%0.500.214.1x7527%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=24, mult=3.7
5.7%-32.9%0.480.174.1x6334%
SMA 크로스오버
fast=21, slow=95
6.7%-50.5%0.450.135.3x6757%
EMA 크로스오버
fast=40, slow=48
5.9%-51.6%0.410.114.3x7957%
Supertrend
period=18, mult=4.6
4.8%-40.4%0.350.123.3x9959%
Parabolic SAR
step=0.005, maxStep=0.1
4.5%-43.6%0.340.103.1x19154%
ROC 모멘텀
n=122, threshold=0.11
3.6%-40.4%0.330.092.5x13633%
MACD
fast=17, slow=46, signal=17
0.7%-49.6%0.130.011.2x28753%
Buy and hold8.6%-62.7%0.460.148.2x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -16% -31% -47% -63% 2002 2006 2010 2014 2018 2022 2026 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -30.5% (2001-07-10 → 2012-02-20), recovered after 4,255 days.

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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