Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsui & Co.,Ltd backtest
10 trend-following strategies were compared on the full daily history of Mitsui & Co.,Ltd. 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 10.3%, drawdown -77.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -67.0%, Sharpe 0.41, 85% 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=25, exitN=95 |
7.7% | -67.0% | 0.41 | 0.12 | 7.2x | 45 | 85% |
| Keltner 채널 돌파 emaPeriod=88, atrPeriod=27, mult=1.3 |
6.0% | -40.9% | 0.39 | 0.15 | 4.7x | 152 | 52% |
| SMA 크로스오버 fast=40, slow=64 |
6.3% | -60.7% | 0.38 | 0.10 | 5.0x | 116 | 60% |
| EMA 크로스오버 fast=21, slow=97 |
5.8% | -57.3% | 0.37 | 0.10 | 4.5x | 80 | 60% |
| ROC 모멘텀 n=199, threshold=0.06 |
3.6% | -51.1% | 0.27 | 0.07 | 2.5x | 195 | 54% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
3.4% | -61.7% | 0.27 | 0.05 | 2.4x | 158 | 48% |
| Supertrend period=23, mult=3.8 |
2.5% | -68.5% | 0.22 | 0.04 | 1.9x | 170 | 61% |
| ADX / DI 방향성 period=42, threshold=30 |
0.8% | -11.8% | 0.21 | 0.06 | 1.2x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.8% | -78.3% | 0.14 | 0.01 | 1.2x | 225 | 57% |
| MACD fast=19, slow=21, signal=12 |
-2.3% | -67.3% | 0.00 | -0.03 | 0.5x | 399 | 51% |
| Buy and hold | 10.3% | -77.6% | 0.46 | 0.13 | 13.4x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 95 days