Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ROUND ONE Corporation backtest
10 trend-following strategies were compared on the full daily history of ROUND ONE Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -45.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.3%, MDD -45.3%, Sharpe 0.53, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 11.3%, MDD -45.3%, exposure 39%).
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=33, k=1.3 |
11.3% | -45.3% | 0.53 | 0.25 | 9.4x | 155 | 39% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=1.6 |
10.2% | -62.6% | 0.50 | 0.16 | 7.6x | 157 | 35% |
| Supertrend period=13, mult=3.4 |
9.4% | -73.1% | 0.45 | 0.13 | 6.6x | 131 | 51% |
| EMA 크로스오버 fast=10, slow=15 |
9.1% | -61.6% | 0.44 | 0.15 | 6.2x | 227 | 51% |
| Donchian 채널 돌파 entryN=26, exitN=51 |
9.4% | -55.2% | 0.43 | 0.17 | 6.5x | 63 | 61% |
| ADX / DI 방향성 period=21, threshold=11 |
8.7% | -64.7% | 0.43 | 0.13 | 5.7x | 287 | 47% |
| MACD fast=21, slow=68, signal=17 |
7.6% | -73.0% | 0.39 | 0.10 | 4.6x | 178 | 52% |
| ROC 모멘텀 n=20, threshold=0.02 |
5.2% | -69.0% | 0.32 | 0.08 | 2.9x | 423 | 44% |
| Parabolic SAR step=0.02, maxStep=0.34 |
4.0% | -72.5% | 0.29 | 0.06 | 2.3x | 406 | 51% |
| SMA 크로스오버 fast=33, slow=114 |
3.9% | -70.1% | 0.28 | 0.06 | 2.2x | 47 | 52% |
| Buy and hold | 0.4% | -95.5% | 0.25 | 0.00 | 1.1x | 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 33-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 33-day middle average