Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Suzuki Motor Corp. backtest
10 trend-following strategies were compared on the full daily history of Suzuki Motor Corp.. 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 6.7%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -59.0%, Sharpe 0.36, 81% 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=14, exitN=67 |
6.3% | -59.0% | 0.36 | 0.11 | 5.1x | 75 | 81% |
| ADX / DI 방향성 period=20, threshold=37 |
0.9% | -6.1% | 0.32 | 0.15 | 1.3x | 4 | 1% |
| SMA 크로스오버 fast=32, slow=64 |
4.6% | -58.4% | 0.31 | 0.08 | 3.3x | 109 | 58% |
| EMA 크로스오버 fast=26, slow=134 |
4.3% | -49.7% | 0.30 | 0.09 | 3.0x | 59 | 59% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
3.2% | -41.9% | 0.27 | 0.08 | 2.3x | 89 | 39% |
| ROC 모멘텀 n=65, threshold=-0.01 |
1.9% | -50.2% | 0.20 | 0.04 | 1.6x | 321 | 59% |
| Supertrend period=29, mult=4.9 |
1.8% | -58.9% | 0.19 | 0.03 | 1.6x | 93 | 59% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.1% | -62.0% | 0.12 | 0.00 | 1.0x | 204 | 56% |
| MACD fast=35, slow=51, signal=12 |
-2.9% | -64.7% | -0.01 | -0.05 | 0.5x | 269 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.8 |
-3.2% | -63.0% | -0.08 | -0.05 | 0.4x | 179 | 42% |
| Buy and hold | 6.7% | -72.3% | 0.36 | 0.09 | 5.6x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 67 days