Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Chiba Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chiba Bank, Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -70.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -27.1%, Sharpe 0.36, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.3%, MDD -65.0%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.8 |
3.7% | -27.1% | 0.36 | 0.14 | 2.7x | 70 | 14% |
| EMA 크로스오버 fast=57, slow=205 |
5.3% | -65.0% | 0.34 | 0.08 | 4.0x | 31 | 58% |
| SMA 크로스오버 fast=45, slow=207 |
4.2% | -63.8% | 0.29 | 0.07 | 3.0x | 41 | 58% |
| ROC 모멘텀 n=136, threshold=-0.11 |
4.0% | -65.7% | 0.28 | 0.06 | 2.8x | 173 | 80% |
| Donchian 채널 돌파 entryN=104, exitN=72 |
2.4% | -60.2% | 0.22 | 0.04 | 1.9x | 43 | 52% |
| ADX / DI 방향성 period=22, threshold=34 |
1.2% | -16.6% | 0.21 | 0.07 | 1.4x | 14 | 3% |
| MACD fast=18, slow=28, signal=23 |
-0.0% | -74.3% | 0.11 | -0.00 | 1.0x | 310 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=4 |
0.5% | -35.2% | 0.10 | 0.01 | 1.1x | 50 | 12% |
| Supertrend period=17, mult=3.5 |
-2.6% | -89.5% | -0.01 | -0.03 | 0.5x | 173 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.7% | -92.4% | -0.15 | -0.06 | 0.2x | 227 | 54% |
| Buy and hold | 6.2% | -70.8% | 0.35 | 0.09 | 5.0x | 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 25-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 25-day middle average