Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Heavy Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Heavy Industries, 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 10.1%, MDD -33.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.5%, drawdown -87.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.1%, MDD -33.9%, Sharpe 0.66, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -52.5%, exposure 62%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 10.1%, MDD -33.9%, exposure 20%).
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=44, k=2.9 |
10.1% | -33.9% | 0.66 | 0.30 | 13.1x | 55 | 20% |
| Donchian 채널 돌파 entryN=59, exitN=88 |
13.7% | -52.5% | 0.58 | 0.26 | 30.7x | 33 | 62% |
| EMA 크로스오버 fast=17, slow=184 |
12.4% | -56.8% | 0.58 | 0.22 | 22.3x | 49 | 53% |
| SMA 크로스오버 fast=52, slow=125 |
12.7% | -54.7% | 0.57 | 0.23 | 24.3x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=2.6 |
7.3% | -57.3% | 0.47 | 0.13 | 6.6x | 122 | 23% |
| ADX / DI 방향성 period=39, threshold=23 |
4.8% | -25.0% | 0.42 | 0.19 | 3.5x | 22 | 11% |
| ROC 모멘텀 n=115, threshold=0 |
7.9% | -60.7% | 0.42 | 0.13 | 7.6x | 239 | 55% |
| Supertrend period=36, mult=4.9 |
5.6% | -82.3% | 0.34 | 0.07 | 4.3x | 99 | 52% |
| MACD fast=18, slow=51, signal=14 |
2.5% | -71.3% | 0.23 | 0.03 | 1.9x | 317 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-2.4% | -86.6% | 0.06 | -0.03 | 0.5x | 447 | 52% |
| Buy and hold | 5.5% | -87.1% | 0.34 | 0.06 | 4.1x | 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 44-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 44-day middle average