Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Estate Company, Limited backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Estate Company, Limited. 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 5.2%, drawdown -77.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -49.4%, Sharpe 0.31, 19% 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=52, k=2.6 |
3.7% | -49.4% | 0.31 | 0.07 | 2.6x | 60 | 19% |
| Donchian 채널 돌파 entryN=73, exitN=32 |
2.9% | -67.4% | 0.25 | 0.04 | 2.2x | 64 | 35% |
| SMA 크로스오버 fast=49, slow=112 |
3.0% | -58.5% | 0.25 | 0.05 | 2.2x | 58 | 50% |
| ADX / DI 방향성 period=34, threshold=26 |
1.6% | -21.0% | 0.21 | 0.08 | 1.5x | 20 | 5% |
| ROC 모멘텀 n=97, threshold=0.12 |
2.2% | -67.6% | 0.21 | 0.03 | 1.8x | 204 | 27% |
| EMA 크로스오버 fast=58, slow=198 |
2.0% | -69.1% | 0.20 | 0.03 | 1.7x | 39 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=3.2 |
-0.2% | -71.0% | 0.07 | -0.00 | 1.0x | 96 | 25% |
| Supertrend period=28, mult=3.7 |
-1.1% | -77.4% | 0.07 | -0.01 | 0.8x | 150 | 50% |
| MACD fast=24, slow=41, signal=21 |
-2.2% | -73.6% | 0.02 | -0.03 | 0.6x | 257 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.9% | -79.3% | -0.06 | -0.05 | 0.3x | 219 | 50% |
| Buy and hold | 5.2% | -77.7% | 0.32 | 0.07 | 3.8x | 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 52-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 52-day middle average