Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Century Corporation backtest
10 trend-following strategies were compared on the full daily history of Tokyo Century Corporation. 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 12.0%, drawdown -76.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -36.3%, Sharpe 0.54, 28% exposure.
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=24, k=2.3 |
8.5% | -36.3% | 0.54 | 0.23 | 8.1x | 141 | 28% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=3.5 |
6.4% | -37.1% | 0.45 | 0.17 | 4.8x | 75 | 22% |
| Donchian 채널 돌파 entryN=100, exitN=7 |
5.6% | -43.8% | 0.44 | 0.13 | 4.0x | 104 | 18% |
| SMA 크로스오버 fast=34, slow=115 |
7.2% | -49.3% | 0.39 | 0.15 | 5.9x | 61 | 55% |
| EMA 크로스오버 fast=40, slow=70 |
6.9% | -55.2% | 0.38 | 0.12 | 5.4x | 67 | 57% |
| MACD fast=30, slow=58, signal=19 |
6.5% | -73.5% | 0.37 | 0.09 | 5.0x | 203 | 52% |
| ADX / DI 방향성 period=14, threshold=33 |
3.9% | -34.8% | 0.37 | 0.11 | 2.7x | 80 | 12% |
| Supertrend period=13, mult=2.5 |
5.0% | -66.4% | 0.32 | 0.07 | 3.4x | 265 | 55% |
| ROC 모멘텀 n=71, threshold=-0.03 |
4.1% | -62.0% | 0.28 | 0.07 | 2.8x | 281 | 62% |
| Parabolic SAR step=0.01, maxStep=0.34 |
3.1% | -79.9% | 0.25 | 0.04 | 2.2x | 331 | 55% |
| Buy and hold | 12.0% | -76.3% | 0.49 | 0.16 | 18.0x | 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 24-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 24-day middle average