Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Asahi Intecc Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Asahi Intecc Co., Ltd.. 3 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 17.4%, MDD -50.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.0%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -50.9%, Sharpe 0.68, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.1%, MDD -67.4%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 17.4%, MDD -50.9%, 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=134, exitN=95 |
17.4% | -50.9% | 0.68 | 0.34 | 29.3x | 15 | 57% |
| SMA 크로스오버 fast=34, slow=181 |
18.1% | -67.4% | 0.66 | 0.27 | 33.4x | 29 | 67% |
| EMA 크로스오버 fast=76, slow=161 |
17.2% | -58.3% | 0.66 | 0.30 | 28.5x | 23 | 67% |
| ROC 모멘텀 n=146, threshold=-0.04 |
13.0% | -70.9% | 0.54 | 0.18 | 13.1x | 151 | 72% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
3.4% | -55.3% | 0.28 | 0.06 | 2.0x | 30 | 13% |
| ADX / DI 방향성 period=21, threshold=38 |
2.4% | -22.3% | 0.28 | 0.11 | 1.7x | 16 | 4% |
| Supertrend period=15, mult=4.3 |
1.4% | -71.5% | 0.20 | 0.02 | 1.3x | 115 | 61% |
| MACD fast=18, slow=35, signal=24 |
0.2% | -64.7% | 0.15 | 0.00 | 1.0x | 224 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.9% | -70.2% | 0.12 | -0.01 | 0.8x | 162 | 56% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=4 |
-1.2% | -57.6% | 0.03 | -0.02 | 0.8x | 58 | 15% |
| Buy and hold | 16.0% | -87.1% | 0.56 | 0.18 | 23.0x | 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 134 days
- Sell — Sell when price breaks below the lowest low of the last 95 days