Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sony Group Corporation backtest
10 trend-following strategies were compared on the full daily history of Sony Group Corporation. 8 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 1.8%, MDD -29.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -95.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -42.7%, Sharpe 0.39, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 1.8%, MDD -29.1%, exposure 12%).
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=75, k=1.3 |
6.1% | -42.7% | 0.39 | 0.14 | 4.9x | 99 | 41% |
| Donchian 채널 돌파 entryN=38, exitN=42 |
5.8% | -48.1% | 0.36 | 0.12 | 4.4x | 73 | 54% |
| SMA 크로스오버 fast=25, slow=86 |
5.4% | -59.0% | 0.34 | 0.09 | 4.0x | 83 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=2.6 |
4.0% | -51.1% | 0.30 | 0.08 | 2.8x | 115 | 34% |
| EMA 크로스오버 fast=42, slow=206 |
4.2% | -56.2% | 0.29 | 0.08 | 3.0x | 36 | 52% |
| Supertrend period=22, mult=5 |
3.9% | -62.9% | 0.28 | 0.06 | 2.8x | 99 | 52% |
| ROC 모멘텀 n=76, threshold=0.07 |
3.3% | -48.0% | 0.26 | 0.07 | 2.4x | 245 | 39% |
| ADX / DI 방향성 period=28, threshold=22 |
1.8% | -29.1% | 0.21 | 0.06 | 1.6x | 48 | 12% |
| MACD fast=21, slow=58, signal=21 |
-2.2% | -71.4% | 0.03 | -0.03 | 0.6x | 251 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.0% | -75.3% | -0.00 | -0.04 | 0.4x | 435 | 51% |
| Buy and hold | 0.8% | -95.2% | 0.20 | 0.01 | 1.2x | 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 75-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 75-day middle average