Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Realty & Development Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Realty & Development Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -54.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -84.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.3%, MDD -50.3%, Sharpe 0.47, 36% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -54.8%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 34.2%p (CAGR 9.1%, MDD -54.8%, exposure 54%).
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=26, k=1.8 |
8.3% | -50.3% | 0.47 | 0.16 | 8.3x | 212 | 36% |
| Donchian 채널 돌파 entryN=86, exitN=64 |
9.1% | -54.8% | 0.46 | 0.17 | 10.2x | 44 | 54% |
| SMA 크로스오버 fast=53, slow=117 |
9.1% | -64.6% | 0.46 | 0.14 | 10.0x | 52 | 58% |
| EMA 크로스오버 fast=33, slow=83 |
8.0% | -70.2% | 0.42 | 0.11 | 7.8x | 74 | 58% |
| ROC 모멘텀 n=99, threshold=0 |
7.5% | -61.1% | 0.40 | 0.12 | 6.8x | 258 | 57% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=2.2 |
5.8% | -61.1% | 0.38 | 0.10 | 4.5x | 170 | 28% |
| MACD fast=19, slow=22, signal=17 |
5.4% | -64.8% | 0.33 | 0.08 | 4.1x | 353 | 51% |
| Supertrend period=31, mult=5 |
4.6% | -85.3% | 0.30 | 0.05 | 3.3x | 100 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
4.3% | -69.3% | 0.29 | 0.06 | 3.1x | 358 | 53% |
| ADX / DI 방향성 period=38, threshold=23 |
2.5% | -38.5% | 0.26 | 0.06 | 1.9x | 30 | 6% |
| Buy and hold | 12.1% | -84.5% | 0.49 | 0.14 | 21.0x | 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 26-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 26-day middle average