Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Zenkoku Hosho Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zenkoku Hosho 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 18.9%, drawdown -49.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -36.1%, Sharpe 0.54, 76% 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=21, exitN=67 |
11.2% | -36.1% | 0.54 | 0.31 | 4.3x | 33 | 76% |
| Supertrend period=7, mult=4.9 |
9.8% | -35.4% | 0.52 | 0.28 | 3.6x | 41 | 58% |
| ADX / DI 방향성 period=21, threshold=34 |
2.6% | -14.1% | 0.35 | 0.18 | 1.4x | 6 | 2% |
| EMA 크로스오버 fast=32, slow=43 |
5.6% | -46.8% | 0.35 | 0.12 | 2.1x | 47 | 61% |
| MACD fast=20, slow=59, signal=17 |
4.2% | -33.9% | 0.32 | 0.12 | 1.8x | 131 | 50% |
| SMA 크로스오버 fast=13, slow=126 |
4.5% | -55.2% | 0.32 | 0.08 | 1.8x | 39 | 60% |
| ROC 모멘텀 n=11, threshold=0.13 |
2.8% | -28.2% | 0.31 | 0.10 | 1.5x | 58 | 4% |
| 볼린저 밴드 돌파 n=43, k=0.8 |
3.1% | -37.4% | 0.26 | 0.08 | 1.5x | 129 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.9% | -47.8% | 0.20 | 0.04 | 1.3x | 109 | 54% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=2.3 |
-0.6% | -53.5% | 0.05 | -0.01 | 0.9x | 86 | 30% |
| Buy and hold | 18.9% | -49.4% | 0.72 | 0.38 | 10.7x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 67 days