Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamaha Corporation backtest
10 trend-following strategies were compared on the full daily history of Yamaha Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -76.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -71.9%, Sharpe 0.30, 88% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, exitN=75 |
4.5% | -71.9% | 0.30 | 0.06 | 3.3x | 101 | 88% |
| ROC 모멘텀 n=268, threshold=0.01 |
3.8% | -65.6% | 0.28 | 0.06 | 2.7x | 127 | 54% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=17, mult=2.9 |
0.8% | -14.7% | 0.21 | 0.06 | 1.2x | 18 | 2% |
| EMA 크로스오버 fast=44, slow=209 |
2.0% | -62.5% | 0.21 | 0.03 | 1.7x | 35 | 53% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
1.0% | -18.1% | 0.17 | 0.05 | 1.3x | 24 | 6% |
| SMA 크로스오버 fast=52, slow=194 |
1.0% | -75.0% | 0.17 | 0.01 | 1.3x | 45 | 57% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.8% | -71.1% | 0.09 | -0.01 | 0.8x | 341 | 52% |
| ADX / DI 방향성 period=26, threshold=39 |
0.2% | -7.2% | 0.09 | 0.02 | 1.0x | 4 | 0% |
| MACD fast=17, slow=22, signal=10 |
-0.9% | -75.9% | 0.09 | -0.01 | 0.8x | 463 | 53% |
| Supertrend period=29, mult=4.3 |
-1.3% | -73.5% | 0.07 | -0.02 | 0.7x | 129 | 50% |
| Buy and hold | 6.7% | -76.9% | 0.36 | 0.09 | 5.7x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 75 days