Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Matsui Securities Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Matsui Securities Co., Ltd.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.5%, MDD -31.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.4%, drawdown -83.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -40.7%, Sharpe 0.57, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 7.5%, MDD -31.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.4 |
8.0% | -40.7% | 0.57 | 0.20 | 6.9x | 161 | 16% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=1.9 |
7.5% | -31.2% | 0.53 | 0.24 | 6.1x | 169 | 19% |
| Donchian 채널 돌파 entryN=30, exitN=8 |
6.1% | -41.9% | 0.42 | 0.14 | 4.4x | 163 | 28% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.7% | -61.8% | 0.39 | 0.11 | 5.0x | 301 | 51% |
| Supertrend period=9, mult=5 |
4.9% | -67.6% | 0.32 | 0.07 | 3.3x | 105 | 48% |
| ADX / DI 방향성 period=32, threshold=13 |
4.6% | -54.4% | 0.32 | 0.08 | 3.1x | 185 | 32% |
| ROC 모멘텀 n=77, threshold=0.2 |
3.2% | -48.1% | 0.27 | 0.07 | 2.2x | 133 | 14% |
| MACD fast=15, slow=36, signal=20 |
3.3% | -56.0% | 0.26 | 0.06 | 2.3x | 291 | 51% |
| EMA 크로스오버 fast=48, slow=239 |
2.3% | -77.9% | 0.21 | 0.03 | 1.8x | 33 | 43% |
| SMA 크로스오버 fast=16, slow=25 |
1.1% | -62.2% | 0.17 | 0.02 | 1.3x | 291 | 50% |
| Buy and hold | 3.4% | -83.0% | 0.27 | 0.04 | 2.3x | 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 13-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 13-day middle average