Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Saizeriya Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Saizeriya Co., Ltd.. 5 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 2.9%, MDD -20.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -80.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -20.0%, Sharpe 0.39, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.5%, MDD -43.8%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 60.7%p (CAGR 2.9%, MDD -20.0%, exposure 6%).
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=21, k=3.5 |
2.9% | -20.0% | 0.39 | 0.14 | 2.1x | 29 | 6% |
| EMA 크로스오버 fast=23, slow=182 |
6.5% | -43.8% | 0.39 | 0.15 | 5.1x | 41 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=19 |
5.9% | -49.9% | 0.37 | 0.12 | 4.3x | 153 | 51% |
| ADX / DI 방향성 period=39, threshold=30 |
1.7% | -13.5% | 0.36 | 0.13 | 1.5x | 4 | 3% |
| Supertrend period=11, mult=5 |
5.7% | -47.6% | 0.36 | 0.12 | 4.1x | 93 | 52% |
| SMA 크로스오버 fast=6, slow=192 |
5.8% | -54.3% | 0.36 | 0.11 | 4.2x | 69 | 52% |
| ROC 모멘텀 n=124, threshold=-0.03 |
4.9% | -61.2% | 0.32 | 0.08 | 3.4x | 203 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.8 |
2.3% | -54.3% | 0.22 | 0.04 | 1.8x | 163 | 43% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.1% | -52.5% | 0.16 | 0.02 | 1.3x | 327 | 54% |
| MACD fast=9, slow=33, signal=23 |
-0.1% | -66.1% | 0.11 | -0.00 | 1.0x | 361 | 52% |
| Buy and hold | 3.4% | -80.7% | 0.27 | 0.04 | 2.3x | 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 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average