Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toda Corporation backtest
10 trend-following strategies were compared on the full daily history of Toda Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.6%, MDD -58.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -66.8%, Sharpe 0.31, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 4.6%, MDD -58.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=74, exitN=77 |
4.7% | -66.8% | 0.31 | 0.07 | 3.3x | 36 | 58% |
| EMA 크로스오버 fast=20, slow=134 |
4.6% | -58.1% | 0.31 | 0.08 | 3.2x | 51 | 53% |
| SMA 크로스오버 fast=38, slow=110 |
4.1% | -71.4% | 0.29 | 0.06 | 2.8x | 58 | 52% |
| ROC 모멘텀 n=200, threshold=-0.01 |
3.6% | -76.3% | 0.27 | 0.05 | 2.5x | 203 | 57% |
| ADX / DI 방향성 period=27, threshold=34 |
1.0% | -13.9% | 0.25 | 0.07 | 1.3x | 10 | 2% |
| 볼린저 밴드 돌파 n=14, k=3 |
0.9% | -18.7% | 0.17 | 0.05 | 1.3x | 14 | 2% |
| Supertrend period=13, mult=5 |
0.8% | -70.0% | 0.16 | 0.01 | 1.2x | 86 | 57% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=2.2 |
-0.6% | -64.6% | 0.06 | -0.01 | 0.8x | 130 | 34% |
| MACD fast=27, slow=71, signal=30 |
-2.4% | -76.8% | 0.01 | -0.03 | 0.5x | 170 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.2% | -94.5% | -0.22 | -0.08 | 0.1x | 432 | 51% |
| Buy and hold | 4.0% | -74.9% | 0.29 | 0.05 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 74 days
- Sell — Sell when price breaks below the lowest low of the last 77 days