Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seikoh Giken Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Seikoh Giken Co., Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.8%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.4%, MDD -51.0%, Sharpe 0.77, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 15.8%, MDD -43.9%, exposure 30%).
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=28, k=2.1 |
20.4% | -51.0% | 0.77 | 0.40 | 125.0x | 128 | 28% |
| Donchian 채널 돌파 entryN=29, exitN=11 |
15.8% | -43.9% | 0.63 | 0.36 | 45.0x | 126 | 30% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=24, mult=2.2 |
15.3% | -56.2% | 0.61 | 0.27 | 40.4x | 96 | 32% |
| Parabolic SAR step=0.005, maxStep=0.36 |
16.6% | -68.3% | 0.61 | 0.24 | 53.7x | 174 | 43% |
| Supertrend period=20, mult=3.1 |
13.1% | -64.2% | 0.53 | 0.20 | 24.3x | 184 | 40% |
| EMA 크로스오버 fast=18, slow=130 |
12.5% | -68.6% | 0.51 | 0.18 | 21.2x | 62 | 43% |
| SMA 크로스오버 fast=8, slow=135 |
11.0% | -70.7% | 0.47 | 0.16 | 15.1x | 74 | 44% |
| ROC 모멘텀 n=78, threshold=-0.04 |
8.6% | -68.4% | 0.40 | 0.13 | 8.5x | 240 | 52% |
| ADX / DI 방향성 period=38, threshold=16 |
6.7% | -68.7% | 0.37 | 0.10 | 5.4x | 120 | 27% |
| MACD fast=19, slow=29, signal=8 |
6.5% | -88.9% | 0.35 | 0.07 | 5.1x | 366 | 52% |
| Buy and hold | -2.4% | -99.4% | 0.20 | -0.02 | 0.5x | 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 28-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 28-day middle average