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 6.9%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -59.0%, Sharpe 0.37, 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 |
6.6% | -59.0% | 0.37 | 0.11 | 5.5x | 75 | 81% |
| SMA 크로스오버 fast=32, slow=64 |
4.8% | -58.4% | 0.32 | 0.08 | 3.5x | 109 | 58% |
| ADX / DI 방향성 period=20, threshold=37 |
0.9% | -6.1% | 0.32 | 0.15 | 1.3x | 4 | 1% |
| EMA 크로스오버 fast=26, slow=134 |
4.5% | -49.7% | 0.31 | 0.09 | 3.2x | 59 | 59% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
2.9% | -41.9% | 0.25 | 0.07 | 2.2x | 91 | 39% |
| ROC 모멘텀 n=65, threshold=-0.01 |
2.1% | -50.2% | 0.21 | 0.04 | 1.7x | 321 | 59% |
| Supertrend period=29, mult=4.9 |
2.1% | -58.9% | 0.21 | 0.04 | 1.7x | 93 | 59% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.2% | -62.0% | 0.13 | 0.00 | 1.1x | 205 | 56% |
| MACD fast=35, slow=51, signal=12 |
-3.2% | -64.7% | -0.03 | -0.05 | 0.4x | 273 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.8 |
-3.3% | -63.0% | -0.09 | -0.05 | 0.4x | 181 | 42% |
| Buy and hold | 6.9% | -72.3% | 0.37 | 0.10 | 5.9x | 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