Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DMG MORI CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of DMG MORI CO., LTD.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.4%, MDD -44.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -88.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -68.5%, Sharpe 0.48, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 7.4%, MDD -44.9%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=79, exitN=43 |
9.1% | -68.5% | 0.48 | 0.13 | 9.3x | 46 | 47% |
| Supertrend period=14, mult=4.8 |
8.6% | -59.5% | 0.44 | 0.14 | 8.3x | 96 | 51% |
| SMA 크로스오버 fast=54, slow=81 |
8.7% | -58.5% | 0.44 | 0.15 | 8.6x | 87 | 57% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
7.6% | -51.5% | 0.43 | 0.15 | 6.5x | 126 | 39% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=2.3 |
7.4% | -44.9% | 0.43 | 0.16 | 6.2x | 140 | 37% |
| EMA 크로스오버 fast=21, slow=30 |
7.5% | -55.5% | 0.40 | 0.13 | 6.4x | 124 | 54% |
| MACD fast=24, slow=73, signal=18 |
7.3% | -53.0% | 0.39 | 0.14 | 6.1x | 210 | 53% |
| ROC 모멘텀 n=75, threshold=-0.03 |
7.3% | -58.1% | 0.39 | 0.13 | 6.1x | 232 | 60% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.1% | -70.9% | 0.21 | 0.03 | 1.7x | 210 | 52% |
| ADX / DI 방향성 period=37, threshold=18 |
2.0% | -43.7% | 0.21 | 0.05 | 1.7x | 64 | 16% |
| Buy and hold | 3.4% | -88.3% | 0.29 | 0.04 | 2.3x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 43 days