Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Tatemono Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tokyo Tatemono Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -51.5%, Sharpe 0.46, 46% exposure.
CAGR reference leader: Supertrend — CAGR 8.8%, MDD -67.5%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 37.9%p (CAGR 8.7%, MDD -51.5%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=52, exitN=28 |
8.7% | -51.5% | 0.46 | 0.17 | 8.5x | 74 | 46% |
| Supertrend period=10, mult=5 |
8.8% | -67.5% | 0.43 | 0.13 | 8.6x | 84 | 56% |
| EMA 크로스오버 fast=33, slow=194 |
8.5% | -71.4% | 0.43 | 0.12 | 8.1x | 43 | 58% |
| SMA 크로스오버 fast=49, slow=228 |
8.4% | -71.7% | 0.42 | 0.12 | 7.9x | 30 | 58% |
| 볼린저 밴드 돌파 n=23, k=2.5 |
5.8% | -39.0% | 0.38 | 0.15 | 4.2x | 126 | 22% |
| ROC 모멘텀 n=98, threshold=0.11 |
5.3% | -71.0% | 0.33 | 0.07 | 3.8x | 236 | 37% |
| MACD fast=16, slow=31, signal=14 |
4.0% | -78.8% | 0.28 | 0.05 | 2.7x | 355 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=3.2 |
3.3% | -55.7% | 0.27 | 0.06 | 2.3x | 70 | 13% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.4% | -69.8% | 0.19 | 0.02 | 1.4x | 225 | 53% |
| ADX / DI 방향성 period=18, threshold=29 |
1.4% | -46.7% | 0.17 | 0.03 | 1.4x | 58 | 9% |
| Buy and hold | 9.0% | -89.4% | 0.42 | 0.10 | 9.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 52 days
- Sell — Sell when price breaks below the lowest low of the last 28 days