Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ryohin Keikaku Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ryohin Keikaku Co., Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.4%, MDD -34.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.2%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.6%, MDD -57.8%, Sharpe 0.74, 66% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 11.4%, MDD -34.8%, exposure 43%).
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=88, exitN=120 |
18.6% | -57.8% | 0.74 | 0.32 | 78.3x | 19 | 66% |
| SMA 크로스오버 fast=27, slow=215 |
16.6% | -57.7% | 0.70 | 0.29 | 50.7x | 33 | 60% |
| EMA 크로스오버 fast=50, slow=137 |
16.0% | -57.9% | 0.68 | 0.28 | 45.0x | 35 | 60% |
| ROC 모멘텀 n=145, threshold=0.14 |
11.4% | -34.8% | 0.59 | 0.33 | 15.9x | 163 | 43% |
| ADX / DI 방향성 period=24, threshold=12 |
8.6% | -64.6% | 0.46 | 0.13 | 8.2x | 267 | 48% |
| Supertrend period=9, mult=2.6 |
8.1% | -69.7% | 0.43 | 0.12 | 7.3x | 245 | 56% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=8, mult=2.9 |
5.7% | -44.7% | 0.41 | 0.13 | 4.1x | 104 | 26% |
| 볼린저 밴드 돌파 n=26, k=1.3 |
6.1% | -51.1% | 0.37 | 0.12 | 4.5x | 267 | 44% |
| Parabolic SAR step=0.03, maxStep=0.34 |
2.0% | -64.9% | 0.21 | 0.03 | 1.7x | 659 | 53% |
| MACD fast=16, slow=48, signal=11 |
1.2% | -78.2% | 0.17 | 0.02 | 1.3x | 361 | 50% |
| Buy and hold | 12.2% | -75.9% | 0.50 | 0.16 | 19.0x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 120 days