Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Harmonic Drive Systems Inc. backtest
10 trend-following strategies were compared on the full daily history of Harmonic Drive Systems Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.4%, MDD -63.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.1%, drawdown -96.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.5%, MDD -80.3%, Sharpe 0.61, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 17.4%, MDD -63.1%, exposure 57%).
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=87, exitN=70 |
17.5% | -80.3% | 0.61 | 0.22 | 72.9x | 31 | 58% |
| EMA 크로스오버 fast=10, slow=115 |
17.4% | -63.1% | 0.61 | 0.27 | 70.3x | 79 | 57% |
| SMA 크로스오버 fast=52, slow=135 |
14.1% | -76.8% | 0.53 | 0.18 | 33.2x | 41 | 58% |
| Supertrend period=9, mult=5 |
12.0% | -74.3% | 0.48 | 0.16 | 20.1x | 95 | 58% |
| ROC 모멘텀 n=78, threshold=-0.04 |
10.9% | -85.0% | 0.46 | 0.13 | 15.6x | 219 | 62% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=2.5 |
7.2% | -59.7% | 0.38 | 0.12 | 6.3x | 136 | 31% |
| Parabolic SAR step=0.01, maxStep=0.22 |
6.8% | -77.1% | 0.36 | 0.09 | 5.8x | 308 | 51% |
| 볼린저 밴드 돌파 n=73, k=1.2 |
6.7% | -71.2% | 0.36 | 0.09 | 5.6x | 120 | 44% |
| ADX / DI 방향성 period=13, threshold=25 |
4.0% | -66.1% | 0.28 | 0.06 | 2.9x | 240 | 25% |
| MACD fast=11, slow=16, signal=14 |
-1.9% | -92.4% | 0.16 | -0.02 | 0.6x | 484 | 50% |
| Buy and hold | 8.1% | -96.1% | 0.42 | 0.08 | 8.0x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 70 days