Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Alps Alpine Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alps Alpine Co., Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -27.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -79.4%, Sharpe 0.41, 76% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 3.4%, MDD -27.6%, exposure 8%).
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=18, exitN=63 |
8.5% | -79.4% | 0.41 | 0.11 | 8.8x | 81 | 76% |
| SMA 크로스오버 fast=33, slow=56 |
5.9% | -67.1% | 0.34 | 0.09 | 4.6x | 118 | 54% |
| 볼린저 밴드 돌파 n=37, k=3.1 |
3.4% | -27.6% | 0.34 | 0.12 | 2.4x | 28 | 8% |
| Supertrend period=17, mult=4.5 |
5.2% | -65.9% | 0.32 | 0.08 | 3.9x | 116 | 51% |
| ADX / DI 방향성 period=34, threshold=20 |
3.7% | -41.5% | 0.31 | 0.09 | 2.6x | 56 | 13% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=21, mult=3.8 |
4.3% | -41.6% | 0.31 | 0.10 | 3.1x | 66 | 25% |
| ROC 모멘텀 n=49, threshold=0.2 |
3.6% | -37.0% | 0.29 | 0.10 | 2.6x | 234 | 17% |
| Parabolic SAR step=0.02, maxStep=0.08 |
3.9% | -70.9% | 0.28 | 0.06 | 2.8x | 437 | 52% |
| MACD fast=21, slow=33, signal=17 |
2.2% | -70.2% | 0.22 | 0.03 | 1.8x | 301 | 52% |
| EMA 크로스오버 fast=36, slow=76 |
0.1% | -80.0% | 0.15 | 0.00 | 1.0x | 87 | 52% |
| Buy and hold | 1.3% | -90.0% | 0.25 | 0.01 | 1.4x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 63 days