Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Logistics Corporation backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Logistics Corporation. 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 6.8%, drawdown -68.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -20.5%, Sharpe 0.45, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.6%, MDD -64.3%, exposure 55%.
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=47, k=3.5 |
3.3% | -20.5% | 0.45 | 0.16 | 2.4x | 10 | 6% |
| SMA 크로스오버 fast=68, slow=185 |
3.6% | -64.3% | 0.27 | 0.06 | 2.6x | 37 | 55% |
| Supertrend period=12, mult=3.4 |
3.5% | -64.0% | 0.27 | 0.06 | 2.5x | 160 | 51% |
| ADX / DI 방향성 period=39, threshold=21 |
1.9% | -24.4% | 0.27 | 0.08 | 1.6x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=18, mult=3.1 |
1.2% | -9.0% | 0.26 | 0.13 | 1.4x | 18 | 2% |
| Donchian 채널 돌파 entryN=30, exitN=43 |
2.7% | -67.3% | 0.23 | 0.04 | 2.0x | 87 | 64% |
| Parabolic SAR step=0.01, maxStep=0.22 |
1.5% | -64.6% | 0.18 | 0.02 | 1.5x | 364 | 51% |
| EMA 크로스오버 fast=51, slow=193 |
1.4% | -79.3% | 0.17 | 0.02 | 1.4x | 41 | 59% |
| ROC 모멘텀 n=188, threshold=0.03 |
1.3% | -69.5% | 0.17 | 0.02 | 1.4x | 233 | 51% |
| MACD fast=19, slow=45, signal=18 |
-0.9% | -67.7% | 0.06 | -0.01 | 0.8x | 298 | 51% |
| Buy and hold | 6.8% | -68.0% | 0.37 | 0.10 | 5.8x | 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 47-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 47-day middle average