Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamato Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yamato Holdings Co., Ltd.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -25.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.6%, drawdown -79.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.4%, MDD -25.6%, Sharpe 0.28, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 2.4%, MDD -25.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=3.8 |
2.4% | -25.6% | 0.28 | 0.10 | 1.9x | 42 | 14% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
1.4% | -35.0% | 0.18 | 0.04 | 1.4x | 80 | 18% |
| ADX / DI 방향성 period=30, threshold=19 |
0.9% | -29.1% | 0.14 | 0.03 | 1.3x | 72 | 14% |
| Donchian 채널 돌파 entryN=112, exitN=64 |
0.9% | -49.7% | 0.13 | 0.02 | 1.3x | 33 | 31% |
| SMA 크로스오버 fast=39, slow=146 |
0.5% | -46.4% | 0.12 | 0.01 | 1.1x | 53 | 42% |
| ROC 모멘텀 n=75, threshold=0.1 |
-0.0% | -40.0% | 0.06 | -0.00 | 1.0x | 223 | 24% |
| EMA 크로스오버 fast=47, slow=104 |
-0.6% | -61.3% | 0.05 | -0.01 | 0.9x | 59 | 42% |
| Supertrend period=18, mult=3.7 |
-4.2% | -76.3% | -0.13 | -0.06 | 0.3x | 142 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-6.7% | -86.7% | -0.26 | -0.08 | 0.2x | 220 | 48% |
| MACD fast=11, slow=89, signal=17 |
-8.2% | -92.8% | -0.33 | -0.09 | 0.1x | 340 | 51% |
| Buy and hold | -2.6% | -79.0% | 0.06 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 42-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 42-day average