Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TDK Corporation backtest
10 trend-following strategies were compared on the full daily history of TDK Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.2%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.2%, drawdown -85.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -84.2%, Sharpe 0.31, 83% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 1.2%p (CAGR 4.2%, MDD -57.1%, exposure 58%).
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=13, exitN=71 |
4.9% | -84.2% | 0.31 | 0.06 | 3.6x | 85 | 83% |
| SMA 크로스오버 fast=45, slow=136 |
4.2% | -57.1% | 0.29 | 0.07 | 3.0x | 47 | 58% |
| ROC 모멘텀 n=104, threshold=-0.11 |
4.1% | -61.8% | 0.29 | 0.07 | 2.9x | 175 | 74% |
| EMA 크로스오버 fast=12, slow=152 |
3.4% | -63.5% | 0.26 | 0.05 | 2.4x | 79 | 56% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
2.9% | -55.2% | 0.25 | 0.05 | 2.1x | 76 | 23% |
| Supertrend period=29, mult=5 |
2.8% | -86.7% | 0.24 | 0.03 | 2.1x | 98 | 56% |
| MACD fast=21, slow=43, signal=10 |
2.3% | -78.7% | 0.22 | 0.03 | 1.8x | 342 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.7 |
1.9% | -64.1% | 0.20 | 0.03 | 1.7x | 74 | 25% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-1.4% | -89.4% | 0.09 | -0.02 | 0.7x | 412 | 53% |
| ADX / DI 방향성 period=8, threshold=36 |
-0.1% | -66.0% | 0.06 | -0.00 | 1.0x | 246 | 17% |
| Buy and hold | 4.2% | -85.4% | 0.31 | 0.05 | 3.0x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 71 days