Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Stanley Electric Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Stanley Electric Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -70.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.7%, MDD -58.8%, Sharpe 0.23, 67% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=57 |
2.7% | -58.8% | 0.23 | 0.05 | 2.0x | 73 | 67% |
| SMA 크로스오버 fast=45, slow=218 |
2.2% | -60.1% | 0.21 | 0.04 | 1.7x | 35 | 53% |
| EMA 크로스오버 fast=54, slow=190 |
1.8% | -53.5% | 0.19 | 0.03 | 1.6x | 37 | 57% |
| ADX / DI 방향성 period=34, threshold=27 |
0.6% | -15.0% | 0.17 | 0.04 | 1.2x | 4 | 2% |
| ROC 모멘텀 n=148, threshold=0.06 |
0.3% | -54.7% | 0.11 | 0.01 | 1.1x | 203 | 44% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
-0.1% | -57.2% | 0.06 | -0.00 | 1.0x | 58 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=3.7 |
-0.5% | -62.3% | 0.05 | -0.01 | 0.9x | 64 | 25% |
| Supertrend period=25, mult=5 |
-2.0% | -71.2% | 0.04 | -0.03 | 0.6x | 89 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.2% | -87.0% | -0.10 | -0.06 | 0.3x | 215 | 54% |
| MACD fast=15, slow=40, signal=19 |
-9.1% | -95.6% | -0.26 | -0.09 | 0.1x | 361 | 51% |
| Buy and hold | 5.0% | -70.8% | 0.32 | 0.07 | 3.5x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 57 days