Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Taisei Corporation backtest
10 trend-following strategies were compared on the full daily history of Taisei Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -61.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -76.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -47.4%, Sharpe 0.46, 21% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.7%, MDD -66.7%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 8.0%, MDD -61.3%, exposure 59%).
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=76, k=3 |
6.5% | -47.4% | 0.46 | 0.14 | 5.3x | 32 | 21% |
| EMA 크로스오버 fast=47, slow=186 |
8.7% | -66.7% | 0.45 | 0.13 | 9.1x | 36 | 60% |
| SMA 크로스오버 fast=39, slow=100 |
8.0% | -61.3% | 0.43 | 0.13 | 7.8x | 76 | 59% |
| ADX / DI 방향성 period=33, threshold=29 |
1.7% | -22.3% | 0.28 | 0.08 | 1.6x | 14 | 4% |
| ROC 모멘텀 n=122, threshold=-0.03 |
3.9% | -71.7% | 0.28 | 0.05 | 2.8x | 246 | 66% |
| Donchian 채널 돌파 entryN=93, exitN=37 |
3.7% | -65.8% | 0.27 | 0.06 | 2.6x | 60 | 44% |
| Supertrend period=30, mult=4.4 |
-0.2% | -84.7% | 0.12 | -0.00 | 1.0x | 122 | 57% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=9, mult=2.5 |
-1.3% | -74.5% | 0.03 | -0.02 | 0.7x | 130 | 32% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-3.7% | -85.7% | -0.03 | -0.04 | 0.4x | 698 | 53% |
| MACD fast=7, slow=23, signal=7 |
-5.4% | -90.8% | -0.09 | -0.06 | 0.2x | 716 | 50% |
| Buy and hold | 10.3% | -76.7% | 0.46 | 0.13 | 13.7x | 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 76-day average (3× volatility)
- Sell — Sell when the close falls back to the 76-day middle average