Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Furuya Metal Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Furuya Metal Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.0%, MDD -56.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.2%, drawdown -87.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.5%, MDD -61.6%, Sharpe 0.74, 40% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 14.0%, MDD -56.5%, exposure 49%).
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=59, k=1.3 |
20.5% | -61.6% | 0.74 | 0.33 | 41.0x | 62 | 40% |
| Donchian 채널 돌파 entryN=42, exitN=35 |
16.0% | -65.4% | 0.61 | 0.24 | 19.3x | 48 | 45% |
| Supertrend period=29, mult=4.9 |
15.3% | -59.2% | 0.59 | 0.26 | 17.1x | 63 | 48% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=2.2 |
14.6% | -67.9% | 0.59 | 0.21 | 15.1x | 75 | 38% |
| SMA 크로스오버 fast=23, slow=68 |
14.3% | -62.4% | 0.56 | 0.23 | 14.3x | 70 | 51% |
| EMA 크로스오버 fast=27, slow=32 |
14.3% | -61.4% | 0.56 | 0.23 | 14.4x | 77 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
14.0% | -56.5% | 0.56 | 0.25 | 13.6x | 219 | 49% |
| ADX / DI 방향성 period=34, threshold=8 |
14.1% | -61.5% | 0.55 | 0.23 | 13.8x | 179 | 54% |
| ROC 모멘텀 n=54, threshold=0.02 |
8.9% | -77.3% | 0.42 | 0.11 | 5.4x | 213 | 50% |
| MACD fast=15, slow=59, signal=18 |
5.3% | -60.3% | 0.33 | 0.09 | 2.8x | 221 | 51% |
| Buy and hold | 12.2% | -87.1% | 0.49 | 0.14 | 10.0x | 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 59-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average