Trend-Following Backtester · Guide · backtest 한국어
equity · JP
HAZAMA ANDO Corporation backtest
10 trend-following strategies were compared on the full daily history of HAZAMA ANDO Corporation. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.4%, MDD -32.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.9%, drawdown -89.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.4%, MDD -32.6%, Sharpe 0.56, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 11.4%, MDD -32.6%, exposure 31%).
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=62, k=2.2 |
11.4% | -32.6% | 0.56 | 0.35 | 11.7x | 60 | 31% |
| Donchian 채널 돌파 entryN=83, exitN=17 |
9.5% | -32.6% | 0.51 | 0.29 | 7.9x | 62 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=3.9 |
7.4% | -39.0% | 0.50 | 0.19 | 5.1x | 46 | 25% |
| MACD fast=25, slow=44, signal=21 |
9.9% | -62.9% | 0.47 | 0.16 | 8.6x | 191 | 52% |
| SMA 크로스오버 fast=22, slow=85 |
9.7% | -54.1% | 0.46 | 0.18 | 8.3x | 86 | 51% |
| EMA 크로스오버 fast=44, slow=209 |
7.4% | -57.3% | 0.41 | 0.13 | 5.1x | 31 | 56% |
| ROC 모멘텀 n=69, threshold=0.04 |
6.5% | -57.6% | 0.36 | 0.11 | 4.2x | 230 | 42% |
| ADX / DI 방향성 period=22, threshold=13 |
6.2% | -56.0% | 0.35 | 0.11 | 3.9x | 240 | 44% |
| Supertrend period=17, mult=3.7 |
4.5% | -67.1% | 0.29 | 0.07 | 2.7x | 120 | 52% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-6.4% | -89.0% | -0.11 | -0.07 | 0.2x | 447 | 50% |
| Buy and hold | 5.9% | -89.4% | 0.34 | 0.07 | 3.7x | 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 62-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 62-day middle average