Trend-Following Backtester · Guide · backtest 한국어
equity · JP
HIROSE ELECTRIC CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of HIROSE ELECTRIC CO., LTD.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -73.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -18.0%, Sharpe 0.27, 3% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=22, k=3.3 |
1.4% | -18.0% | 0.27 | 0.08 | 1.5x | 14 | 3% |
| Supertrend period=16, mult=4.5 |
-0.7% | -66.0% | 0.08 | -0.01 | 0.8x | 112 | 49% |
| SMA 크로스오버 fast=44, slow=236 |
-0.4% | -67.7% | 0.08 | -0.01 | 0.9x | 43 | 47% |
| ADX / DI 방향성 period=29, threshold=21 |
0.3% | -32.6% | 0.07 | 0.01 | 1.1x | 36 | 8% |
| Donchian 채널 돌파 entryN=45, exitN=23 |
-1.1% | -70.3% | 0.04 | -0.02 | 0.7x | 101 | 38% |
| EMA 크로스오버 fast=33, slow=37 |
-1.8% | -76.2% | 0.04 | -0.02 | 0.6x | 118 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=2.4 |
-2.1% | -66.2% | -0.03 | -0.03 | 0.6x | 118 | 31% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.4% | -87.0% | -0.11 | -0.06 | 0.2x | 218 | 52% |
| MACD fast=18, slow=51, signal=19 |
-6.1% | -90.8% | -0.15 | -0.07 | 0.2x | 312 | 51% |
| ROC 모멘텀 n=65, threshold=-0.02 |
-7.0% | -94.3% | -0.18 | -0.07 | 0.1x | 373 | 58% |
| Buy and hold | 3.6% | -73.4% | 0.28 | 0.05 | 2.6x | 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 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average