Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Taiyo Yuden Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiyo Yuden Co., Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.2%, MDD -47.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.1%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -47.8%, Sharpe 0.53, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.6%, MDD -62.7%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 47.4%p (CAGR 10.2%, MDD -47.8%, exposure 21%).
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=86, exitN=13 |
10.2% | -47.8% | 0.53 | 0.21 | 13.1x | 84 | 21% |
| 볼린저 밴드 돌파 n=54, k=0.9 |
10.5% | -65.6% | 0.47 | 0.16 | 14.3x | 156 | 43% |
| SMA 크로스오버 fast=47, slow=176 |
10.6% | -62.7% | 0.47 | 0.17 | 14.5x | 35 | 50% |
| Supertrend period=25, mult=4.3 |
9.7% | -71.4% | 0.45 | 0.14 | 11.8x | 124 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=1.3 |
8.6% | -71.5% | 0.43 | 0.12 | 9.0x | 256 | 37% |
| EMA 크로스오버 fast=50, slow=92 |
8.1% | -61.5% | 0.40 | 0.13 | 7.9x | 57 | 47% |
| ROC 모멘텀 n=57, threshold=0.06 |
7.9% | -63.1% | 0.40 | 0.12 | 7.5x | 259 | 40% |
| MACD fast=19, slow=61, signal=14 |
6.2% | -82.5% | 0.35 | 0.08 | 4.9x | 276 | 54% |
| ADX / DI 방향성 period=14, threshold=31 |
3.8% | -55.7% | 0.29 | 0.07 | 2.7x | 102 | 12% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.7% | -74.7% | 0.19 | 0.01 | 1.2x | 228 | 51% |
| Buy and hold | 2.1% | -95.2% | 0.29 | 0.02 | 1.7x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 13 days