Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mizuho Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mizuho Financial Group, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.4%, MDD -25.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.1%, drawdown -90.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -25.0%, Sharpe 0.68, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.3%, MDD -57.6%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 65.4%p (CAGR 9.4%, MDD -25.0%, exposure 19%).
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=105, exitN=10 |
9.4% | -25.0% | 0.68 | 0.37 | 8.1x | 69 | 19% |
| 볼린저 밴드 돌파 n=29, k=2.7 |
9.2% | -26.7% | 0.61 | 0.35 | 7.9x | 86 | 21% |
| EMA 크로스오버 fast=50, slow=178 |
11.3% | -57.6% | 0.60 | 0.20 | 12.2x | 27 | 54% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=1.5 |
9.6% | -43.3% | 0.56 | 0.22 | 8.5x | 212 | 35% |
| Supertrend period=6, mult=3.4 |
10.7% | -50.9% | 0.55 | 0.21 | 10.9x | 157 | 51% |
| SMA 크로스오버 fast=56, slow=181 |
9.8% | -61.4% | 0.52 | 0.16 | 8.8x | 39 | 56% |
| MACD fast=17, slow=36, signal=16 |
9.6% | -81.7% | 0.50 | 0.12 | 8.5x | 266 | 51% |
| ADX / DI 방향성 period=39, threshold=11 |
8.7% | -35.2% | 0.49 | 0.25 | 7.0x | 163 | 39% |
| ROC 모멘텀 n=40, threshold=0.13 |
7.4% | -34.2% | 0.49 | 0.21 | 5.3x | 168 | 18% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.8% | -68.1% | 0.43 | 0.11 | 5.8x | 264 | 52% |
| Buy and hold | 9.1% | -90.4% | 0.42 | 0.10 | 7.7x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 10 days