Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Tsugami Corp. backtest

10 trend-following strategies were compared on the full daily history of Tsugami Corp.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -44.7%).

Data 2001-01-01 ~ 2026-07-31daily bars 6,373 (25.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 12.0%, drawdown -86.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.5%, MDD -44.7%, Sharpe 0.73, 37% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -67.3%, exposure 54%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 17.5%, MDD -44.7%, exposure 37%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=76, atrPeriod=23, mult=3
17.5%-44.7%0.730.3961.2x6637%
Donchian 채널 돌파
entryN=83, exitN=24
16.3%-45.1%0.720.3647.3x5633%
볼린저 밴드 돌파
n=42, k=1.9
15.9%-52.8%0.700.3044.0x12035%
SMA 크로스오버
fast=30, slow=84
17.9%-67.3%0.670.2767.1x7554%
Supertrend
period=23, mult=5
16.8%-65.3%0.650.2653.0x7853%
EMA 크로스오버
fast=11, slow=210
16.5%-65.9%0.640.2549.5x5352%
ADX / DI 방향성
period=20, threshold=21
11.6%-49.6%0.590.2316.4x14226%
ROC 모멘텀
n=97, threshold=-0.01
12.9%-75.9%0.540.1722.2x23557%
MACD
fast=16, slow=52, signal=16
7.1%-83.6%0.380.095.8x30052%
Parabolic SAR
step=0.015, maxStep=0.2
3.0%-88.5%0.250.032.1x42653%
Buy and hold12.0%-86.7%0.480.1418.1x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 SMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -22% -43% -65% -87% 2002 2006 2010 2014 2018 2022 2026 Buy and holdSMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -44.7% (2012-04-05 → 2014-11-27), recovered after 1,826 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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