Trend-Following Backtester · Guide · backtest 한국어
equity · JP
AIMECHATEC Ltd. backtest
10 trend-following strategies were compared on the full daily history of AIMECHATEC Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 84.1%, MDD -36.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 63.3%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 84.1%, MDD -36.8%, Sharpe 1.30, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.8%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 84.1%, MDD -36.8%, exposure 73%).
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=25, exitN=56 |
84.1% | -36.8% | 1.30 | 2.28 | 21.2x | 9 | 73% |
| ADX / DI 방향성 period=35, threshold=14 |
75.6% | -50.3% | 1.24 | 1.50 | 16.7x | 9 | 53% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
56.8% | -35.5% | 1.24 | 1.60 | 9.5x | 6 | 24% |
| SMA 크로스오버 fast=43, slow=83 |
73.4% | -45.6% | 1.21 | 1.61 | 15.7x | 9 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
52.6% | -44.9% | 1.14 | 1.17 | 8.3x | 10 | 30% |
| ROC 모멘텀 n=43, threshold=-0.02 |
63.1% | -46.2% | 1.13 | 1.37 | 11.6x | 67 | 60% |
| EMA 크로스오버 fast=48, slow=191 |
61.5% | -65.6% | 1.09 | 0.94 | 11.0x | 5 | 58% |
| Supertrend period=12, mult=5 |
57.7% | -61.5% | 1.04 | 0.94 | 9.8x | 11 | 78% |
| Parabolic SAR step=0.01, maxStep=0.34 |
30.2% | -64.0% | 0.77 | 0.47 | 3.7x | 56 | 49% |
| MACD fast=21, slow=46, signal=12 |
23.7% | -60.9% | 0.67 | 0.39 | 2.9x | 54 | 49% |
| Buy and hold | 63.3% | -77.0% | 1.04 | 0.82 | 11.6x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 56 days