Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yokohama Rubber Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yokohama Rubber Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -67.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -36.8%, Sharpe 0.52, 38% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=36 |
8.4% | -36.8% | 0.52 | 0.23 | 8.6x | 57 | 38% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=4 |
5.6% | -28.4% | 0.47 | 0.20 | 4.2x | 52 | 20% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
5.6% | -28.5% | 0.45 | 0.20 | 4.3x | 57 | 20% |
| SMA 크로스오버 fast=52, slow=110 |
8.3% | -50.1% | 0.44 | 0.16 | 8.2x | 63 | 54% |
| EMA 크로스오버 fast=27, slow=236 |
6.1% | -67.5% | 0.36 | 0.09 | 4.8x | 45 | 61% |
| Supertrend period=25, mult=4.4 |
5.9% | -77.2% | 0.36 | 0.08 | 4.6x | 113 | 56% |
| ADX / DI 방향성 period=26, threshold=27 |
2.4% | -29.5% | 0.30 | 0.08 | 1.9x | 36 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -66.4% | 0.22 | 0.04 | 1.9x | 226 | 55% |
| ROC 모멘텀 n=68, threshold=0.09 |
2.2% | -51.3% | 0.21 | 0.04 | 1.8x | 281 | 36% |
| MACD fast=27, slow=58, signal=13 |
0.9% | -66.2% | 0.16 | 0.01 | 1.3x | 284 | 53% |
| Buy and hold | 11.7% | -67.5% | 0.49 | 0.17 | 18.9x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 36 days