Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sharp Corporation backtest
10 trend-following strategies were compared on the full daily history of Sharp Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -27.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.2%, drawdown -97.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -36.4%, Sharpe 0.30, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 1.7%, MDD -27.5%, exposure 1%).
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=30, k=3.5 |
3.0% | -36.4% | 0.30 | 0.08 | 2.2x | 22 | 5% |
| Donchian 채널 돌파 entryN=138, exitN=4 |
2.7% | -29.6% | 0.29 | 0.09 | 2.0x | 62 | 5% |
| ADX / DI 방향성 period=33, threshold=35 |
1.7% | -27.5% | 0.28 | 0.06 | 1.6x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=3.5 |
2.3% | -61.7% | 0.22 | 0.04 | 1.8x | 62 | 12% |
| ROC 모멘텀 n=106, threshold=0.13 |
0.3% | -57.7% | 0.12 | 0.01 | 1.1x | 182 | 21% |
| SMA 크로스오버 fast=52, slow=119 |
-0.4% | -77.2% | 0.11 | -0.01 | 0.9x | 57 | 43% |
| Supertrend period=16, mult=4.1 |
-2.3% | -73.2% | 0.06 | -0.03 | 0.5x | 137 | 44% |
| MACD fast=10, slow=45, signal=14 |
-3.6% | -84.2% | 0.03 | -0.04 | 0.4x | 376 | 51% |
| EMA 크로스오버 fast=55, slow=75 |
-3.8% | -76.1% | -0.03 | -0.05 | 0.4x | 62 | 41% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-6.0% | -85.7% | -0.07 | -0.07 | 0.2x | 320 | 46% |
| Buy and hold | -13.2% | -97.9% | -0.11 | -0.13 | 0.0x | 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 30-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 30-day middle average