Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yokohama Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yokohama Financial Group, Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -31.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.6%, drawdown -63.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -31.1%, Sharpe 0.60, 37% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.9%, MDD -43.3%, exposure 70%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 11.5%, MDD -31.1%, exposure 59%).
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=26, k=1.9 |
9.7% | -31.1% | 0.60 | 0.31 | 2.6x | 72 | 37% |
| ROC 모멘텀 n=255, threshold=-0.07 |
12.9% | -43.3% | 0.60 | 0.30 | 3.5x | 21 | 70% |
| SMA 크로스오버 fast=21, slow=125 |
11.5% | -31.1% | 0.57 | 0.37 | 3.1x | 25 | 59% |
| EMA 크로스오버 fast=57, slow=159 |
11.6% | -42.8% | 0.56 | 0.27 | 3.1x | 15 | 70% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
10.5% | -54.2% | 0.50 | 0.19 | 2.8x | 21 | 83% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=2.6 |
5.5% | -32.1% | 0.39 | 0.17 | 1.7x | 37 | 38% |
| Supertrend period=23, mult=3.8 |
6.3% | -47.6% | 0.39 | 0.13 | 1.9x | 47 | 58% |
| MACD fast=18, slow=47, signal=11 |
6.2% | -45.8% | 0.39 | 0.13 | 1.9x | 126 | 53% |
| ADX / DI 방향성 period=18, threshold=36 |
1.7% | -11.0% | 0.30 | 0.15 | 1.2x | 10 | 4% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.3% | -48.0% | 0.13 | 0.01 | 1.0x | 167 | 53% |
| Buy and hold | 12.6% | -63.1% | 0.53 | 0.20 | 3.4x | 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 26-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 26-day middle average