Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Toyota Motor Corp. backtest

10 trend-following strategies were compared on the full daily history of Toyota Motor Corp.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -47.6%).

Data 1999-05-06 ~ 2026-07-31daily bars 6,805 (27.2 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 5.4%, drawdown -71.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -51.1%, Sharpe 0.45, 47% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -47.6%, exposure 53%.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 6.8%, MDD -47.6%, exposure 53%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=74, exitN=59
6.7%-51.1%0.450.135.9x4847%
SMA 크로스오버
fast=58, slow=129
6.8%-47.6%0.440.146.0x5053%
EMA 크로스오버
fast=50, slow=68
5.1%-48.2%0.350.103.8x6254%
ROC 모멘텀
n=89, threshold=0.02
3.1%-46.0%0.260.072.3x26649%
볼린저 밴드 돌파
n=52, k=2
2.2%-52.3%0.220.041.8x10932%
ADX / DI 방향성
period=27, threshold=27
1.1%-14.0%0.220.081.3x165%
Keltner 채널 돌파
emaPeriod=36, atrPeriod=27, mult=3.5
1.8%-43.5%0.200.041.6x8721%
Supertrend
period=24, mult=4.5
1.0%-62.2%0.150.021.3x12354%
Parabolic SAR
step=0.015, maxStep=0.16
-6.0%-89.3%-0.21-0.070.2x46353%
MACD
fast=16, slow=50, signal=15
-6.9%-89.7%-0.26-0.080.1x34350%
Buy and hold5.4%-71.5%0.330.084.2x1100%
1x 2000 2004 2008 2012 2016 2020 2024 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -18% -36% -54% -72% 2000 2004 2008 2012 2016 2020 2024 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.1% (2009-05-07 → 2012-10-11), recovered after 1,464 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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