Trend-Following Backtester · Guide · backtest 한국어

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Panasonic Holdings Corporation backtest

10 trend-following strategies were compared on the full daily history of Panasonic Holdings Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -38.9%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 1.5%, drawdown -88.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -44.0%, Sharpe 0.40, 32% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -70.8%, exposure 49%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 4.8%, MDD -38.9%, exposure 16%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=116, exitN=46
5.6%-44.0%0.400.134.3x3932%
ADX / DI 방향성
period=38, threshold=19
4.8%-38.9%0.390.123.5x5416%
ROC 모멘텀
n=157, threshold=0.15
5.6%-40.3%0.390.144.3x13329%
SMA 크로스오버
fast=41, slow=87
6.3%-70.8%0.380.095.0x7149%
Keltner 채널 돌파
emaPeriod=31, atrPeriod=24, mult=2.9
4.4%-47.8%0.360.093.2x9622%
볼린저 밴드 돌파
n=57, k=3
3.5%-42.1%0.330.082.5x3616%
EMA 크로스오버
fast=43, slow=143
4.7%-69.5%0.320.073.4x4547%
Supertrend
period=13, mult=3.6
0.7%-74.5%0.140.011.2x16651%
Parabolic SAR
step=0.025, maxStep=0.3
-3.1%-88.3%-0.02-0.040.4x62051%
MACD
fast=18, slow=43, signal=11
-3.8%-87.7%-0.05-0.040.4x36853%
Buy and hold1.5%-88.1%0.210.021.5x1100%
1x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -44.0% (2006-04-21 → 2013-01-23), recovered after 2,751 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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