Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyoda Gosei Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toyoda Gosei Co., Ltd.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -48.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.3%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -48.2%, Sharpe 0.38, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 5.9%, MDD -48.2%, exposure 37%).
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=112, exitN=67 |
5.9% | -48.2% | 0.38 | 0.12 | 4.3x | 33 | 37% |
| MACD fast=27, slow=32, signal=45 |
5.5% | -63.2% | 0.34 | 0.09 | 4.0x | 182 | 51% |
| SMA 크로스오버 fast=48, slow=192 |
5.4% | -68.0% | 0.34 | 0.08 | 3.8x | 39 | 50% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
2.4% | -25.8% | 0.33 | 0.09 | 1.8x | 22 | 8% |
| Supertrend period=5, mult=4.8 |
4.3% | -58.2% | 0.30 | 0.07 | 3.0x | 107 | 52% |
| ROC 모멘텀 n=113, threshold=0.05 |
3.9% | -53.8% | 0.29 | 0.07 | 2.7x | 184 | 43% |
| EMA 크로스오버 fast=44, slow=249 |
3.8% | -61.5% | 0.28 | 0.06 | 2.6x | 31 | 54% |
| ADX / DI 방향성 period=33, threshold=14 |
0.6% | -51.9% | 0.12 | 0.01 | 1.2x | 154 | 26% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=2.8 |
0.5% | -53.5% | 0.12 | 0.01 | 1.1x | 112 | 23% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-4.3% | -91.2% | -0.05 | -0.05 | 0.3x | 435 | 51% |
| Buy and hold | 3.3% | -77.3% | 0.27 | 0.04 | 2.3x | 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 112 days
- Sell — Sell when price breaks below the lowest low of the last 67 days