Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seven Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Seven Bank, Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -32.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.7%, drawdown -67.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -37.2%, Sharpe 0.45, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.7%, MDD -47.2%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 3.7%, MDD -32.6%, exposure 33%).
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=68, exitN=31 |
5.6% | -37.2% | 0.45 | 0.15 | 2.5x | 37 | 35% |
| SMA 크로스오버 fast=16, slow=169 |
5.7% | -47.2% | 0.41 | 0.12 | 2.5x | 23 | 52% |
| EMA 크로스오버 fast=20, slow=153 |
4.9% | -56.6% | 0.37 | 0.09 | 2.2x | 29 | 53% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=2.6 |
3.9% | -42.6% | 0.35 | 0.09 | 1.9x | 51 | 32% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
3.7% | -32.6% | 0.35 | 0.11 | 1.8x | 95 | 33% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.8% | -46.4% | 0.31 | 0.08 | 1.9x | 116 | 53% |
| ROC 모멘텀 n=149, threshold=-0.02 |
2.5% | -56.5% | 0.23 | 0.04 | 1.5x | 113 | 56% |
| MACD fast=19, slow=51, signal=17 |
2.0% | -57.8% | 0.21 | 0.04 | 1.4x | 159 | 54% |
| Supertrend period=14, mult=2.5 |
1.9% | -45.9% | 0.20 | 0.04 | 1.4x | 141 | 53% |
| ADX / DI 방향성 period=24, threshold=17 |
-1.2% | -46.1% | -0.03 | -0.03 | 0.8x | 129 | 25% |
| Buy and hold | 3.7% | -67.2% | 0.28 | 0.06 | 1.8x | 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 68 days
- Sell — Sell when price breaks below the lowest low of the last 31 days