Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Takashimaya Company, Limited backtest
10 trend-following strategies were compared on the full daily history of Takashimaya Company, Limited. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -22.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.5%, drawdown -83.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -22.3%, Sharpe 0.56, 12% exposure.
CAGR reference leader: MACD — CAGR 6.6%, MDD -60.9%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 6.1%, MDD -22.3%, exposure 12%).
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=27, k=3.1 |
6.1% | -22.3% | 0.56 | 0.27 | 4.9x | 46 | 12% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.2 |
6.3% | -41.8% | 0.47 | 0.15 | 5.0x | 80 | 21% |
| Donchian 채널 돌파 entryN=89, exitN=36 |
6.4% | -36.6% | 0.43 | 0.18 | 5.2x | 53 | 32% |
| MACD fast=40, slow=72, signal=22 |
6.6% | -60.9% | 0.40 | 0.11 | 5.5x | 163 | 53% |
| SMA 크로스오버 fast=29, slow=121 |
6.3% | -56.0% | 0.39 | 0.11 | 5.1x | 59 | 49% |
| ADX / DI 방향성 period=19, threshold=18 |
5.2% | -56.9% | 0.38 | 0.09 | 3.8x | 215 | 26% |
| Supertrend period=6, mult=3 |
6.0% | -65.1% | 0.37 | 0.09 | 4.7x | 204 | 52% |
| EMA 크로스오버 fast=41, slow=165 |
5.7% | -48.5% | 0.37 | 0.12 | 4.4x | 41 | 48% |
| ROC 모멘텀 n=128, threshold=0.11 |
3.4% | -54.5% | 0.27 | 0.06 | 2.4x | 145 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.4% | -81.7% | 0.22 | 0.03 | 1.9x | 224 | 52% |
| Buy and hold | 4.5% | -83.0% | 0.30 | 0.05 | 3.2x | 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 27-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 27-day middle average