Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyota Tsusho Corp. backtest
10 trend-following strategies were compared on the full daily history of Toyota Tsusho Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -62.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -81.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -30.1%, Sharpe 0.66, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.0%, MDD -62.5%, exposure 62%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.6%p lower than buy and hold, while drawdown improves by 51.3%p (CAGR 14.0%, MDD -62.5%, exposure 62%).
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=108, exitN=25 |
11.3% | -30.1% | 0.66 | 0.38 | 17.2x | 64 | 36% |
| SMA 크로스오버 fast=40, slow=69 |
14.0% | -62.5% | 0.65 | 0.22 | 32.6x | 110 | 62% |
| EMA 크로스오버 fast=58, slow=109 |
11.9% | -64.5% | 0.57 | 0.18 | 19.9x | 51 | 65% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=29, mult=2.9 |
9.2% | -42.3% | 0.55 | 0.22 | 10.4x | 92 | 39% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
7.3% | -46.4% | 0.47 | 0.16 | 6.5x | 96 | 35% |
| Supertrend period=8, mult=3.8 |
7.5% | -57.7% | 0.42 | 0.13 | 6.8x | 152 | 56% |
| ROC 모멘텀 n=91, threshold=0.07 |
6.5% | -52.9% | 0.40 | 0.12 | 5.3x | 308 | 47% |
| ADX / DI 방향성 period=37, threshold=19 |
4.5% | -37.7% | 0.39 | 0.12 | 3.2x | 44 | 15% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.0% | -63.6% | 0.32 | 0.08 | 3.6x | 433 | 56% |
| MACD fast=21, slow=59, signal=19 |
3.4% | -59.9% | 0.26 | 0.06 | 2.4x | 267 | 53% |
| Buy and hold | 16.9% | -81.4% | 0.62 | 0.21 | 63.5x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 25 days