Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SoftBank Group Corp. backtest
10 trend-following strategies were compared on the full daily history of SoftBank Group Corp.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.7%, MDD -44.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.0%, drawdown -98.6%).
Sharpe leader (same as main): Supertrend — CAGR 18.6%, MDD -64.7%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 11.7%, MDD -44.1%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=3.6 |
18.6% | -64.7% | 0.67 | 0.29 | 93.1x | 162 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=2.4 |
12.9% | -55.4% | 0.58 | 0.23 | 25.3x | 130 | 31% |
| Donchian 채널 돌파 entryN=77, exitN=18 |
11.7% | -44.1% | 0.57 | 0.27 | 19.0x | 84 | 28% |
| SMA 크로스오버 fast=56, slow=128 |
13.8% | -66.8% | 0.55 | 0.21 | 31.0x | 55 | 52% |
| 볼린저 밴드 돌파 n=27, k=2 |
12.0% | -54.8% | 0.55 | 0.22 | 20.4x | 170 | 30% |
| EMA 크로스오버 fast=41, slow=214 |
11.6% | -61.8% | 0.49 | 0.19 | 18.5x | 31 | 56% |
| ROC 모멘텀 n=166, threshold=-0.04 |
11.0% | -65.6% | 0.47 | 0.17 | 16.2x | 153 | 60% |
| Parabolic SAR step=0.03, maxStep=0.48 |
10.9% | -66.2% | 0.47 | 0.16 | 15.7x | 660 | 51% |
| ADX / DI 방향성 period=32, threshold=35 |
4.6% | -41.9% | 0.40 | 0.11 | 3.3x | 8 | 3% |
| MACD fast=17, slow=52, signal=18 |
5.7% | -89.6% | 0.33 | 0.06 | 4.3x | 280 | 52% |
| Buy and hold | 5.0% | -98.6% | 0.36 | 0.05 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)