Trend-Following Backtester · Guide · backtest 한국어
equity · JP
AGC Inc. backtest
10 trend-following strategies were compared on the full daily history of AGC Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -20.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -76.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -30.1%, Sharpe 0.31, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 2.0%, MDD -20.7%, exposure 9%).
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=105, exitN=50 |
4.1% | -30.1% | 0.31 | 0.13 | 2.9x | 39 | 37% |
| 볼린저 밴드 돌파 n=32, k=3.1 |
2.0% | -20.7% | 0.25 | 0.10 | 1.7x | 34 | 9% |
| EMA 크로스오버 fast=8, slow=77 |
2.1% | -56.5% | 0.20 | 0.04 | 1.7x | 144 | 53% |
| Supertrend period=27, mult=4.6 |
1.9% | -65.0% | 0.20 | 0.03 | 1.7x | 114 | 52% |
| MACD fast=17, slow=38, signal=24 |
1.8% | -63.7% | 0.19 | 0.03 | 1.6x | 262 | 51% |
| SMA 크로스오버 fast=14, slow=150 |
1.8% | -54.5% | 0.19 | 0.03 | 1.6x | 73 | 50% |
| ADX / DI 방향성 period=15, threshold=40 |
0.6% | -10.8% | 0.17 | 0.05 | 1.2x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=3.8 |
0.6% | -50.1% | 0.11 | 0.01 | 1.2x | 70 | 20% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.8% | -69.6% | 0.08 | -0.01 | 0.8x | 222 | 52% |
| ROC 모멘텀 n=144, threshold=0.08 |
-0.7% | -49.5% | 0.05 | -0.01 | 0.8x | 171 | 35% |
| Buy and hold | 1.5% | -76.1% | 0.21 | 0.02 | 1.5x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 50 days