Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shibaura Mechatronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Shibaura Mechatronics Corp.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.0%, MDD -57.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.9%, drawdown -93.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -57.0%, Sharpe 0.56, 38% exposure.
CAGR reference leader: MACD — CAGR 13.4%, MDD -74.6%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 13.0%, MDD -57.0%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.3 |
13.0% | -57.0% | 0.56 | 0.23 | 22.9x | 294 | 38% |
| MACD fast=15, slow=49, signal=10 |
13.4% | -74.6% | 0.54 | 0.18 | 25.1x | 330 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
12.8% | -70.6% | 0.52 | 0.18 | 21.8x | 304 | 49% |
| Supertrend period=26, mult=1.6 |
12.0% | -58.0% | 0.50 | 0.21 | 18.2x | 458 | 48% |
| EMA 크로스오버 fast=19, slow=186 |
9.7% | -75.9% | 0.43 | 0.13 | 10.7x | 50 | 55% |
| ADX / DI 방향성 period=9, threshold=24 |
8.4% | -70.7% | 0.42 | 0.12 | 7.9x | 414 | 36% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=2.1 |
8.0% | -68.2% | 0.41 | 0.12 | 7.3x | 128 | 37% |
| Donchian 채널 돌파 entryN=17, exitN=62 |
8.0% | -89.8% | 0.39 | 0.09 | 7.3x | 87 | 75% |
| SMA 크로스오버 fast=9, slow=216 |
7.4% | -71.0% | 0.38 | 0.10 | 6.2x | 54 | 53% |
| ROC 모멘텀 n=137, threshold=0 |
5.9% | -81.0% | 0.34 | 0.07 | 4.3x | 192 | 55% |
| Buy and hold | 9.9% | -93.3% | 0.44 | 0.11 | 11.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average