Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DOWA HOLDINGS CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of DOWA HOLDINGS 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 9.2%, drawdown -85.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -61.9%, Sharpe 0.37, 59% 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=27, exitN=31 |
6.7% | -61.9% | 0.37 | 0.11 | 5.7x | 104 | 59% |
| SMA 크로스오버 fast=25, slow=150 |
5.7% | -61.4% | 0.34 | 0.09 | 4.3x | 60 | 58% |
| EMA 크로스오버 fast=45, slow=74 |
4.5% | -65.7% | 0.30 | 0.07 | 3.2x | 60 | 60% |
| Supertrend period=16, mult=4.9 |
3.3% | -71.0% | 0.26 | 0.05 | 2.4x | 104 | 54% |
| ROC 모멘텀 n=149, threshold=0.07 |
2.8% | -59.5% | 0.23 | 0.05 | 2.1x | 227 | 47% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
1.5% | -50.1% | 0.19 | 0.03 | 1.5x | 32 | 6% |
| MACD fast=18, slow=51, signal=19 |
0.8% | -62.4% | 0.17 | 0.01 | 1.2x | 274 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.3 |
1.0% | -76.8% | 0.16 | 0.01 | 1.3x | 208 | 48% |
| ADX / DI 방향성 period=30, threshold=28 |
0.7% | -26.7% | 0.13 | 0.03 | 1.2x | 10 | 2% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-1.1% | -85.4% | 0.10 | -0.01 | 0.8x | 536 | 54% |
| Buy and hold | 9.2% | -85.3% | 0.42 | 0.11 | 10.2x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 31 days