Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JAPAN POST HOLDINGS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of JAPAN POST HOLDINGS Co., Ltd.. 7 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 6.0%, MDD -15.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.8%, drawdown -64.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.0%, MDD -15.5%, Sharpe 0.63, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 6.0%, MDD -15.5%, exposure 22%).
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=24, k=2.5 |
6.0% | -15.5% | 0.63 | 0.39 | 1.9x | 44 | 22% |
| Donchian 채널 돌파 entryN=43, exitN=13 |
4.6% | -39.4% | 0.42 | 0.12 | 1.6x | 47 | 33% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=34, mult=3.1 |
3.3% | -21.0% | 0.34 | 0.16 | 1.4x | 27 | 23% |
| SMA 크로스오버 fast=19, slow=150 |
3.9% | -31.0% | 0.31 | 0.12 | 1.5x | 19 | 50% |
| ROC 모멘텀 n=219, threshold=-0.01 |
3.6% | -38.7% | 0.29 | 0.09 | 1.5x | 63 | 56% |
| EMA 크로스오버 fast=38, slow=97 |
3.1% | -32.8% | 0.27 | 0.10 | 1.4x | 21 | 50% |
| MACD fast=19, slow=58, signal=19 |
2.9% | -55.1% | 0.26 | 0.05 | 1.4x | 91 | 55% |
| Supertrend period=24, mult=3.1 |
2.2% | -57.7% | 0.21 | 0.04 | 1.3x | 75 | 54% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.1% | -45.2% | 0.21 | 0.05 | 1.3x | 79 | 56% |
| ADX / DI 방향성 period=9, threshold=36 |
0.9% | -21.4% | 0.15 | 0.04 | 1.1x | 60 | 15% |
| Buy and hold | 2.8% | -64.2% | 0.24 | 0.04 | 1.3x | 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 24-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 24-day middle average