Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DAIKIN INDUSTRIES, LTD. backtest
10 trend-following strategies were compared on the full daily history of DAIKIN INDUSTRIES, LTD.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -56.0%, Sharpe 0.39, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, exitN=63 |
7.0% | -56.0% | 0.39 | 0.12 | 6.0x | 61 | 66% |
| EMA 크로스오버 fast=32, slow=165 |
6.1% | -42.7% | 0.36 | 0.14 | 4.8x | 47 | 63% |
| ROC 모멘텀 n=27, threshold=-0.12 |
5.7% | -71.1% | 0.34 | 0.08 | 4.4x | 193 | 91% |
| SMA 크로스오버 fast=17, slow=51 |
4.8% | -58.1% | 0.32 | 0.08 | 3.5x | 159 | 57% |
| Supertrend period=13, mult=4.9 |
3.9% | -68.4% | 0.28 | 0.06 | 2.7x | 101 | 58% |
| ADX / DI 방향성 period=32, threshold=27 |
0.7% | -16.3% | 0.15 | 0.05 | 1.2x | 16 | 3% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
0.9% | -69.0% | 0.14 | 0.01 | 1.3x | 144 | 39% |
| MACD fast=19, slow=23, signal=24 |
-1.3% | -72.9% | 0.06 | -0.02 | 0.7x | 336 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.8% | -75.8% | 0.05 | -0.02 | 0.6x | 234 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=2.8 |
-1.2% | -76.0% | 0.03 | -0.02 | 0.7x | 126 | 34% |
| Buy and hold | 11.1% | -74.9% | 0.48 | 0.15 | 16.4x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 63 days