Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Exchange Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Japan Exchange Group, Inc.. 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 15.5%, drawdown -49.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.3%, MDD -11.8%, Sharpe 0.65, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.8%, MDD -47.1%, exposure 76%.
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=17, k=3.3 |
6.3% | -11.8% | 0.65 | 0.53 | 3.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=18, mult=3.6 |
5.4% | -15.5% | 0.53 | 0.35 | 2.6x | 20 | 5% |
| SMA 크로스오버 fast=59, slow=118 |
10.1% | -44.9% | 0.51 | 0.23 | 5.7x | 37 | 56% |
| ADX / DI 방향성 period=19, threshold=38 |
5.1% | -17.8% | 0.50 | 0.28 | 2.4x | 16 | 5% |
| Donchian 채널 돌파 entryN=8, exitN=27 |
10.8% | -47.1% | 0.50 | 0.23 | 6.4x | 115 | 76% |
| Supertrend period=20, mult=3.6 |
9.8% | -54.4% | 0.48 | 0.18 | 5.4x | 101 | 57% |
| EMA 크로스오버 fast=58, slow=214 |
7.9% | -53.5% | 0.43 | 0.15 | 3.9x | 21 | 63% |
| ROC 모멘텀 n=183, threshold=0.07 |
6.9% | -38.4% | 0.41 | 0.18 | 3.3x | 123 | 47% |
| MACD fast=13, slow=55, signal=16 |
5.6% | -56.5% | 0.35 | 0.10 | 2.7x | 222 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-1.0% | -70.7% | 0.09 | -0.01 | 0.8x | 371 | 53% |
| Buy and hold | 15.5% | -49.2% | 0.58 | 0.32 | 13.4x | 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 17-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average