Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ebara Corporation backtest
10 trend-following strategies were compared on the full daily history of Ebara Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -34.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -91.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -48.0%, Sharpe 0.39, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 5.1%, MDD -34.3%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=127, exitN=78 |
7.0% | -48.0% | 0.39 | 0.15 | 6.1x | 30 | 43% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
5.1% | -34.3% | 0.37 | 0.15 | 3.8x | 48 | 20% |
| EMA 크로스오버 fast=25, slow=125 |
6.0% | -62.0% | 0.35 | 0.10 | 4.8x | 60 | 52% |
| SMA 크로스오버 fast=16, slow=103 |
5.2% | -62.5% | 0.32 | 0.08 | 3.9x | 84 | 54% |
| Parabolic SAR step=0.02, maxStep=0.16 |
4.9% | -54.2% | 0.31 | 0.09 | 3.6x | 506 | 53% |
| ROC 모멘텀 n=60, threshold=0.04 |
3.9% | -59.2% | 0.28 | 0.07 | 2.8x | 318 | 47% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=9, mult=1.2 |
3.1% | -66.7% | 0.25 | 0.05 | 2.3x | 168 | 48% |
| Supertrend period=26, mult=3.3 |
2.6% | -62.4% | 0.23 | 0.04 | 2.0x | 204 | 52% |
| ADX / DI 방향성 period=26, threshold=17 |
1.2% | -53.4% | 0.16 | 0.02 | 1.4x | 144 | 25% |
| MACD fast=9, slow=34, signal=8 |
-1.5% | -86.9% | 0.07 | -0.02 | 0.7x | 530 | 51% |
| Buy and hold | 5.4% | -91.0% | 0.33 | 0.06 | 4.0x | 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 127 days
- Sell — Sell when price breaks below the lowest low of the last 78 days