Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hokuhoku Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hokuhoku Financial Group, Inc.. 3 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 8.3%, MDD -31.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -87.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.3%, MDD -31.2%, Sharpe 0.62, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.9%, MDD -65.6%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 8.3%, MDD -31.2%, exposure 14%).
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=40, k=3.3 |
8.3% | -31.2% | 0.62 | 0.27 | 7.7x | 33 | 14% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.7 |
7.3% | -32.3% | 0.50 | 0.23 | 6.1x | 55 | 22% |
| SMA 크로스오버 fast=21, slow=186 |
8.9% | -65.6% | 0.47 | 0.14 | 9.0x | 47 | 46% |
| EMA 크로스오버 fast=22, slow=147 |
8.8% | -66.5% | 0.47 | 0.13 | 8.8x | 57 | 46% |
| ROC 모멘텀 n=80, threshold=0.17 |
6.4% | -50.8% | 0.43 | 0.13 | 5.0x | 141 | 22% |
| Donchian 채널 돌파 entryN=75, exitN=15 |
6.1% | -54.7% | 0.41 | 0.11 | 4.5x | 87 | 28% |
| ADX / DI 방향성 period=27, threshold=21 |
4.5% | -38.0% | 0.36 | 0.12 | 3.1x | 82 | 16% |
| Supertrend period=8, mult=5 |
5.2% | -69.1% | 0.33 | 0.08 | 3.7x | 87 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.2% | -88.2% | 0.13 | 0.00 | 1.1x | 199 | 51% |
| MACD fast=16, slow=44, signal=16 |
-3.3% | -92.7% | -0.01 | -0.04 | 0.4x | 328 | 54% |
| Buy and hold | 7.6% | -87.7% | 0.39 | 0.09 | 6.6x | 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 40-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 40-day middle average