Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MinebeaMitsumi Inc. backtest
10 trend-following strategies were compared on the full daily history of MinebeaMitsumi Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -45.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.8%, drawdown -88.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -45.8%, Sharpe 0.48, 46% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.1%, MDD -59.5%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 9.1%, MDD -45.8%, exposure 46%).
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=72, exitN=51 |
9.1% | -45.8% | 0.48 | 0.20 | 10.0x | 44 | 46% |
| EMA 크로스오버 fast=18, slow=73 |
9.1% | -59.5% | 0.47 | 0.15 | 10.1x | 78 | 51% |
| SMA 크로스오버 fast=20, slow=150 |
9.1% | -59.5% | 0.47 | 0.15 | 10.1x | 51 | 49% |
| ROC 모멘텀 n=95, threshold=0.12 |
7.8% | -47.9% | 0.46 | 0.16 | 7.3x | 219 | 34% |
| Supertrend period=29, mult=4.9 |
7.2% | -51.5% | 0.39 | 0.14 | 6.3x | 92 | 56% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
5.6% | -47.4% | 0.35 | 0.12 | 4.3x | 148 | 42% |
| ADX / DI 방향성 period=26, threshold=38 |
1.1% | -15.3% | 0.31 | 0.07 | 1.4x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=4 |
2.1% | -35.5% | 0.23 | 0.06 | 1.7x | 50 | 12% |
| MACD fast=20, slow=58, signal=21 |
-0.9% | -77.7% | 0.10 | -0.01 | 0.8x | 260 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.9% | -84.9% | 0.03 | -0.03 | 0.5x | 524 | 50% |
| Buy and hold | 2.8% | -88.7% | 0.27 | 0.03 | 2.1x | 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 72 days
- Sell — Sell when price breaks below the lowest low of the last 51 days