Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sugi Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sugi Holdings Co., Ltd.. 1 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 6.8%, MDD -36.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -57.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -36.8%, Sharpe 0.42, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 6.8%, MDD -36.8%, exposure 57%).
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=47, exitN=44 |
6.8% | -36.8% | 0.42 | 0.18 | 5.2x | 59 | 57% |
| SMA 크로스오버 fast=33, slow=208 |
6.2% | -60.0% | 0.38 | 0.10 | 4.5x | 38 | 62% |
| EMA 크로스오버 fast=47, slow=201 |
5.8% | -64.6% | 0.36 | 0.09 | 4.0x | 26 | 60% |
| Supertrend period=11, mult=4.8 |
3.3% | -56.2% | 0.26 | 0.06 | 2.2x | 91 | 60% |
| 볼린저 밴드 돌파 n=54, k=3 |
2.3% | -46.7% | 0.25 | 0.05 | 1.8x | 40 | 17% |
| ROC 모멘텀 n=62, threshold=-0.03 |
2.4% | -55.0% | 0.22 | 0.04 | 1.8x | 288 | 67% |
| ADX / DI 방향성 period=28, threshold=34 |
0.5% | -18.7% | 0.11 | 0.03 | 1.1x | 6 | 1% |
| MACD fast=21, slow=53, signal=23 |
-1.7% | -58.6% | 0.02 | -0.03 | 0.6x | 246 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=3.1 |
-1.3% | -68.5% | -0.01 | -0.02 | 0.7x | 98 | 28% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.2% | -91.2% | -0.26 | -0.09 | 0.1x | 418 | 54% |
| Buy and hold | 6.3% | -57.6% | 0.36 | 0.11 | 4.6x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 44 days