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.. 4 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 6.5%, MDD -41.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.1%, drawdown -78.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -41.0%, Sharpe 0.40, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 6.5%, MDD -41.0%, 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 |
6.5% | -41.0% | 0.40 | 0.16 | 4.8x | 60 | 57% |
| SMA 크로스오버 fast=33, slow=208 |
6.1% | -60.0% | 0.38 | 0.10 | 4.5x | 38 | 62% |
| EMA 크로스오버 fast=47, slow=201 |
5.8% | -64.6% | 0.37 | 0.09 | 4.1x | 26 | 60% |
| Supertrend period=11, mult=4.8 |
3.3% | -56.2% | 0.26 | 0.06 | 2.2x | 92 | 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 |
2.2% | -55.0% | 0.21 | 0.04 | 1.7x | 290 | 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 |
-1.8% | -58.6% | 0.02 | -0.03 | 0.6x | 246 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=3.1 |
-1.1% | -68.5% | 0.01 | -0.02 | 0.8x | 96 | 28% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.8% | -94.6% | -0.28 | -0.11 | 0.1x | 418 | 54% |
| Buy and hold | 3.1% | -78.8% | 0.29 | 0.04 | 2.2x | 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