Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Okuma Corporation backtest
10 trend-following strategies were compared on the full daily history of Okuma Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -57.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.0%, drawdown -86.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -63.3%, Sharpe 0.51, 41% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 7.2%, MDD -57.4%, exposure 52%).
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=55, exitN=28 |
10.0% | -63.3% | 0.51 | 0.16 | 12.7x | 77 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=1.7 |
9.9% | -60.4% | 0.50 | 0.16 | 12.2x | 140 | 41% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
8.5% | -57.8% | 0.47 | 0.15 | 8.9x | 244 | 36% |
| EMA 크로스오버 fast=23, slow=36 |
8.3% | -71.3% | 0.42 | 0.12 | 8.4x | 117 | 53% |
| Supertrend period=24, mult=4 |
8.0% | -73.5% | 0.41 | 0.11 | 7.7x | 129 | 52% |
| MACD fast=16, slow=58, signal=38 |
7.8% | -63.7% | 0.40 | 0.12 | 7.4x | 200 | 53% |
| SMA 크로스오버 fast=26, slow=146 |
7.2% | -57.4% | 0.39 | 0.13 | 6.4x | 59 | 52% |
| ADX / DI 방향성 period=32, threshold=27 |
2.1% | -45.7% | 0.26 | 0.05 | 1.8x | 22 | 8% |
| ROC 모멘텀 n=103, threshold=0.07 |
3.4% | -60.0% | 0.26 | 0.06 | 2.4x | 251 | 44% |
| Parabolic SAR step=0.015, maxStep=0.1 |
2.6% | -72.3% | 0.23 | 0.04 | 2.0x | 418 | 52% |
| Buy and hold | 7.0% | -86.6% | 0.37 | 0.08 | 6.1x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 28 days