Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MEDIPAL HOLDINGS Corporation backtest
10 trend-following strategies were compared on the full daily history of MEDIPAL HOLDINGS Corporation. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.8%, MDD -17.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -75.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -17.6%, Sharpe 0.55, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -38.4%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 4.8%, MDD -17.6%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=2.9 |
4.8% | -17.6% | 0.55 | 0.27 | 3.4x | 36 | 11% |
| SMA 크로스오버 fast=47, slow=148 |
8.4% | -38.4% | 0.52 | 0.22 | 7.9x | 46 | 54% |
| EMA 크로스오버 fast=44, slow=153 |
5.0% | -42.6% | 0.35 | 0.12 | 3.4x | 39 | 56% |
| ROC 모멘텀 n=108, threshold=-0.09 |
4.5% | -62.0% | 0.31 | 0.07 | 3.0x | 171 | 76% |
| ADX / DI 방향성 period=39, threshold=17 |
2.4% | -33.1% | 0.28 | 0.07 | 1.8x | 62 | 15% |
| Donchian 채널 돌파 entryN=84, exitN=76 |
3.3% | -56.5% | 0.27 | 0.06 | 2.3x | 37 | 57% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=2.4 |
1.9% | -41.0% | 0.22 | 0.05 | 1.6x | 117 | 23% |
| Supertrend period=9, mult=2.5 |
0.5% | -70.9% | 0.12 | 0.01 | 1.1x | 239 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.3% | -70.6% | 0.03 | -0.02 | 0.7x | 329 | 52% |
| MACD fast=9, slow=40, signal=10 |
-4.0% | -79.8% | -0.12 | -0.05 | 0.3x | 451 | 51% |
| Buy and hold | 4.6% | -75.5% | 0.30 | 0.06 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 31-day middle average