Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyo Engineering Corporation backtest
10 trend-following strategies were compared on the full daily history of Toyo Engineering Corporation. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -68.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -93.5%).
Sharpe leader (same as main): Supertrend — CAGR 8.3%, MDD -81.4%, Sharpe 0.40, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 7.5%, MDD -68.7%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.7 |
8.3% | -81.4% | 0.40 | 0.10 | 7.7x | 107 | 51% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
5.7% | -46.2% | 0.39 | 0.12 | 4.1x | 66 | 8% |
| Donchian 채널 돌파 entryN=92, exitN=48 |
7.5% | -68.7% | 0.38 | 0.11 | 6.3x | 44 | 36% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=3.7 |
5.7% | -52.2% | 0.37 | 0.11 | 4.1x | 42 | 7% |
| ADX / DI 방향성 period=25, threshold=25 |
4.8% | -59.9% | 0.32 | 0.08 | 3.4x | 68 | 13% |
| SMA 크로스오버 fast=20, slow=193 |
5.0% | -82.7% | 0.32 | 0.06 | 3.5x | 46 | 46% |
| EMA 크로스오버 fast=6, slow=104 |
2.7% | -87.4% | 0.25 | 0.03 | 2.0x | 143 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.7% | -92.9% | 0.22 | 0.02 | 1.6x | 405 | 51% |
| ROC 모멘텀 n=73, threshold=0.12 |
2.0% | -74.8% | 0.22 | 0.03 | 1.7x | 219 | 31% |
| MACD fast=15, slow=40, signal=15 |
1.6% | -94.8% | 0.22 | 0.02 | 1.5x | 321 | 52% |
| Buy and hold | 7.1% | -93.5% | 0.39 | 0.08 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)