Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Brother Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Brother 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 12.9%, drawdown -76.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -43.8%, Sharpe 0.43, 58% 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=42, exitN=56 |
8.1% | -43.8% | 0.43 | 0.18 | 7.3x | 61 | 58% |
| SMA 크로스오버 fast=19, slow=206 |
7.5% | -56.4% | 0.42 | 0.13 | 6.4x | 51 | 57% |
| EMA 크로스오버 fast=30, slow=145 |
7.2% | -52.3% | 0.40 | 0.14 | 6.0x | 55 | 60% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
5.4% | -51.1% | 0.39 | 0.11 | 3.9x | 85 | 30% |
| ROC 모멘텀 n=149, threshold=0.02 |
5.7% | -69.9% | 0.35 | 0.08 | 4.1x | 141 | 55% |
| Supertrend period=27, mult=4.5 |
5.1% | -58.1% | 0.32 | 0.09 | 3.6x | 111 | 58% |
| ADX / DI 방향성 period=27, threshold=22 |
3.1% | -39.4% | 0.32 | 0.08 | 2.2x | 61 | 15% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=16, mult=1.2 |
4.5% | -60.9% | 0.31 | 0.07 | 3.1x | 163 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
2.7% | -64.2% | 0.23 | 0.04 | 2.0x | 323 | 54% |
| MACD fast=15, slow=41, signal=19 |
1.8% | -71.0% | 0.20 | 0.02 | 1.6x | 307 | 51% |
| Buy and hold | 12.9% | -76.3% | 0.52 | 0.17 | 22.6x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 56 days