Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Dai Nippon Printing Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dai Nippon Printing Co., Ltd.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.6%, MDD -14.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -76.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.6%, MDD -14.7%, Sharpe 0.46, 4% exposure.
CAGR reference leader: Supertrend — CAGR 2.7%, MDD -45.3%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 61.8%p (CAGR 2.6%, MDD -14.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=3.6 |
2.6% | -14.7% | 0.46 | 0.18 | 2.0x | 18 | 4% |
| ADX / DI 방향성 period=15, threshold=37 |
1.7% | -15.0% | 0.33 | 0.11 | 1.6x | 26 | 4% |
| Supertrend period=10, mult=5 |
2.7% | -45.3% | 0.23 | 0.06 | 2.0x | 83 | 54% |
| EMA 크로스오버 fast=8, slow=165 |
1.9% | -54.4% | 0.19 | 0.03 | 1.6x | 75 | 52% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
1.5% | -40.4% | 0.18 | 0.04 | 1.5x | 84 | 29% |
| SMA 크로스오버 fast=8, slow=243 |
1.2% | -45.8% | 0.16 | 0.03 | 1.4x | 57 | 52% |
| Donchian 채널 돌파 entryN=92, exitN=71 |
0.3% | -49.2% | 0.11 | 0.01 | 1.1x | 44 | 45% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.9% | -61.9% | -0.01 | -0.03 | 0.6x | 226 | 53% |
| ROC 모멘텀 n=78, threshold=-0.02 |
-4.3% | -79.8% | -0.12 | -0.05 | 0.3x | 287 | 58% |
| MACD fast=18, slow=37, signal=18 |
-5.5% | -83.7% | -0.19 | -0.07 | 0.2x | 324 | 52% |
| Buy and hold | 2.3% | -76.5% | 0.22 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average