Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOTO Ltd backtest
10 trend-following strategies were compared on the full daily history of TOTO Ltd. 0 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 5.5%, MDD -27.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -69.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -27.5%, Sharpe 0.48, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 42.3%p (CAGR 5.5%, MDD -27.5%, exposure 15%).
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=17, k=2.6 |
5.5% | -27.5% | 0.48 | 0.20 | 4.1x | 106 | 15% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
5.2% | -31.4% | 0.46 | 0.17 | 3.9x | 90 | 16% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=3.3 |
5.4% | -42.7% | 0.43 | 0.13 | 4.0x | 80 | 20% |
| EMA 크로스오버 fast=38, slow=306 |
5.4% | -46.3% | 0.35 | 0.12 | 4.1x | 31 | 47% |
| SMA 크로스오버 fast=55, slow=166 |
4.8% | -53.4% | 0.32 | 0.09 | 3.5x | 47 | 49% |
| ADX / DI 방향성 period=24, threshold=19 |
3.4% | -47.6% | 0.29 | 0.07 | 2.4x | 114 | 22% |
| ROC 모멘텀 n=72, threshold=0.13 |
2.9% | -52.5% | 0.25 | 0.06 | 2.2x | 184 | 26% |
| MACD fast=17, slow=34, signal=22 |
2.8% | -75.7% | 0.24 | 0.04 | 2.1x | 286 | 50% |
| Supertrend period=22, mult=4.6 |
2.4% | -70.1% | 0.22 | 0.03 | 1.9x | 116 | 46% |
| Parabolic SAR step=0.02, maxStep=0.12 |
0.2% | -75.1% | 0.12 | 0.00 | 1.1x | 490 | 51% |
| Buy and hold | 6.5% | -69.8% | 0.35 | 0.09 | 5.3x | 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 17-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 17-day middle average