Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Steel Works, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Steel Works, Ltd.. 4 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 11.5%, MDD -28.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.3%, drawdown -92.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.5%, MDD -28.3%, Sharpe 0.70, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.8%, MDD -55.0%, exposure 39%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 63.7%p (CAGR 11.5%, MDD -28.3%, exposure 16%).
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=57, k=3.4 |
11.5% | -28.3% | 0.70 | 0.41 | 17.9x | 26 | 16% |
| Donchian 채널 돌파 entryN=88, exitN=40 |
12.8% | -55.0% | 0.58 | 0.23 | 24.5x | 46 | 39% |
| SMA 크로스오버 fast=29, slow=86 |
12.6% | -73.1% | 0.53 | 0.17 | 23.6x | 80 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=16, mult=4 |
10.2% | -67.7% | 0.53 | 0.15 | 13.3x | 62 | 30% |
| EMA 크로스오버 fast=37, slow=217 |
10.9% | -77.0% | 0.48 | 0.14 | 15.7x | 36 | 52% |
| Supertrend period=23, mult=4.3 |
10.2% | -68.9% | 0.46 | 0.15 | 13.3x | 120 | 54% |
| ROC 모멘텀 n=76, threshold=0.07 |
7.8% | -78.9% | 0.40 | 0.10 | 7.3x | 262 | 42% |
| ADX / DI 방향성 period=35, threshold=22 |
5.5% | -53.6% | 0.40 | 0.10 | 4.1x | 50 | 15% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.1% | -86.2% | 0.19 | 0.01 | 1.3x | 410 | 53% |
| MACD fast=6, slow=43, signal=6 |
0.3% | -93.8% | 0.17 | 0.00 | 1.1x | 700 | 50% |
| Buy and hold | 10.3% | -92.0% | 0.45 | 0.11 | 13.7x | 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 57-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 57-day middle average