Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Elevator Service Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Elevator Service Holdings Co., Ltd.. 0 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 36.3%, MDD -34.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 40.2%, drawdown -57.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.3%, MDD -34.1%, Sharpe 1.00, 82% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 36.3%, MDD -34.1%, exposure 82%).
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=23, exitN=76 |
36.3% | -34.1% | 1.00 | 1.06 | 18.2x | 15 | 82% |
| Supertrend period=11, mult=4.9 |
29.1% | -40.7% | 0.94 | 0.71 | 10.9x | 27 | 63% |
| ROC 모멘텀 n=95, threshold=-0.11 |
30.2% | -42.5% | 0.89 | 0.71 | 11.8x | 69 | 84% |
| EMA 크로스오버 fast=56, slow=96 |
28.9% | -39.1% | 0.89 | 0.74 | 10.7x | 15 | 75% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
20.8% | -31.2% | 0.84 | 0.67 | 5.8x | 54 | 42% |
| SMA 크로스오버 fast=59, slow=104 |
23.5% | -48.8% | 0.81 | 0.48 | 7.2x | 23 | 65% |
| ADX / DI 방향성 period=33, threshold=26 |
11.6% | -26.0% | 0.74 | 0.45 | 2.8x | 10 | 9% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=2.6 |
15.0% | -34.2% | 0.68 | 0.44 | 3.7x | 44 | 35% |
| MACD fast=13, slow=19, signal=16 |
8.3% | -56.8% | 0.42 | 0.15 | 2.1x | 156 | 49% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.2% | -56.2% | 0.32 | 0.09 | 1.6x | 132 | 55% |
| Buy and hold | 40.2% | -57.9% | 0.99 | 0.70 | 23.7x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 76 days