Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Meidensha Corporation backtest
10 trend-following strategies were compared on the full daily history of Meidensha Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -81.4%).
Sharpe leader (same as main): Supertrend — CAGR 10.1%, MDD -72.7%, Sharpe 0.48, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.4%, MDD -58.8%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 8.7%p (CAGR 10.4%, MDD -58.8%, exposure 68%).
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=25, mult=5 |
10.1% | -72.7% | 0.48 | 0.14 | 13.1x | 95 | 48% |
| Donchian 채널 돌파 entryN=32, exitN=66 |
10.4% | -58.8% | 0.46 | 0.18 | 14.1x | 63 | 68% |
| 볼린저 밴드 돌파 n=27, k=1.4 |
7.5% | -68.5% | 0.42 | 0.11 | 6.9x | 243 | 39% |
| Parabolic SAR step=0.015, maxStep=0.06 |
8.0% | -69.4% | 0.41 | 0.11 | 7.7x | 335 | 53% |
| EMA 크로스오버 fast=53, slow=149 |
8.0% | -67.0% | 0.40 | 0.12 | 7.7x | 39 | 53% |
| MACD fast=9, slow=45, signal=9 |
7.5% | -65.3% | 0.39 | 0.11 | 6.8x | 486 | 51% |
| SMA 크로스오버 fast=44, slow=215 |
7.4% | -74.8% | 0.39 | 0.10 | 6.8x | 33 | 53% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=2.6 |
4.5% | -42.4% | 0.36 | 0.11 | 3.3x | 87 | 10% |
| ADX / DI 방향성 period=20, threshold=18 |
4.6% | -52.9% | 0.31 | 0.09 | 3.3x | 213 | 28% |
| ROC 모멘텀 n=143, threshold=-0.01 |
3.0% | -80.8% | 0.25 | 0.04 | 2.2x | 187 | 56% |
| Buy and hold | 11.5% | -81.4% | 0.47 | 0.14 | 18.0x | 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) — 25-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)