Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Marui Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Marui Group Co., Ltd.. 0 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 2.5%, MDD -20.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.7%, drawdown -83.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -20.2%, Sharpe 0.33, 6% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 2.6%, MDD -30.6%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 63.4%p (CAGR 2.5%, MDD -20.2%, exposure 6%).
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=33, k=3.1 |
2.5% | -20.2% | 0.33 | 0.12 | 1.9x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=2.9 |
2.6% | -30.6% | 0.25 | 0.09 | 2.0x | 82 | 20% |
| ADX / DI 방향성 period=33, threshold=22 |
1.4% | -40.8% | 0.19 | 0.03 | 1.5x | 34 | 9% |
| Donchian 채널 돌파 entryN=72, exitN=102 |
0.9% | -53.6% | 0.15 | 0.02 | 1.3x | 37 | 57% |
| ROC 모멘텀 n=205, threshold=0.14 |
0.5% | -52.4% | 0.12 | 0.01 | 1.2x | 172 | 29% |
| Supertrend period=8, mult=3.2 |
-0.1% | -61.8% | 0.12 | -0.00 | 1.0x | 181 | 54% |
| SMA 크로스오버 fast=20, slow=129 |
-1.3% | -64.7% | 0.05 | -0.02 | 0.7x | 72 | 51% |
| MACD fast=25, slow=57, signal=17 |
-1.4% | -78.5% | 0.05 | -0.02 | 0.7x | 259 | 52% |
| EMA 크로스오버 fast=44, slow=175 |
-1.8% | -64.1% | 0.03 | -0.03 | 0.6x | 48 | 51% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-2.3% | -78.3% | 0.01 | -0.03 | 0.5x | 171 | 52% |
| Buy and hold | 2.7% | -83.7% | 0.25 | 0.03 | 2.0x | 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 33-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 33-day middle average