Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SBI Holdings Incorporated backtest
10 trend-following strategies were compared on the full daily history of SBI Holdings Incorporated. 10 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 11.8%, MDD -40.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -97.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -40.9%, Sharpe 0.60, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 11.8%, MDD -40.9%, exposure 17%).
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=2.7 |
11.8% | -40.9% | 0.60 | 0.29 | 17.4x | 87 | 17% |
| SMA 크로스오버 fast=8, slow=140 |
11.4% | -60.9% | 0.49 | 0.19 | 16.1x | 81 | 47% |
| EMA 크로스오버 fast=6, slow=93 |
9.9% | -65.9% | 0.45 | 0.15 | 11.4x | 125 | 48% |
| Supertrend period=28, mult=2 |
9.2% | -72.5% | 0.43 | 0.13 | 9.5x | 365 | 49% |
| Donchian 채널 돌파 entryN=74, exitN=65 |
8.7% | -75.2% | 0.42 | 0.12 | 8.5x | 41 | 45% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=3.8 |
5.7% | -47.2% | 0.41 | 0.12 | 4.1x | 28 | 4% |
| ROC 모멘텀 n=155, threshold=0.01 |
7.7% | -74.3% | 0.39 | 0.10 | 6.7x | 190 | 47% |
| MACD fast=18, slow=42, signal=17 |
7.2% | -81.7% | 0.37 | 0.09 | 6.0x | 269 | 53% |
| ADX / DI 방향성 period=11, threshold=28 |
6.3% | -56.4% | 0.36 | 0.11 | 4.8x | 219 | 22% |
| Parabolic SAR step=0.035, maxStep=0.14 |
2.8% | -81.8% | 0.25 | 0.03 | 2.0x | 617 | 51% |
| Buy and hold | -0.9% | -97.0% | 0.24 | -0.01 | 0.8x | 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 (2.7× volatility)
- Sell — Sell when the close falls back to the 25-day middle average