Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hakuhodo Dy Holdings Incorporated backtest
10 trend-following strategies were compared on the full daily history of Hakuhodo Dy Holdings Incorporated. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.6%, drawdown -65.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -10.7%, Sharpe 0.29, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.0%, MDD -61.2%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=22, k=3.5 |
1.4% | -10.7% | 0.29 | 0.13 | 1.3x | 6 | 2% |
| ROC 모멘텀 Hold-like · Exposure 98% n=9, threshold=-0.13 |
3.0% | -61.2% | 0.25 | 0.05 | 1.9x | 51 | 98% |
| Donchian 채널 돌파 entryN=13, exitN=44 |
2.3% | -58.0% | 0.22 | 0.04 | 1.6x | 89 | 74% |
| ADX / DI 방향성 period=32, threshold=30 |
0.4% | -12.1% | 0.15 | 0.04 | 1.1x | 6 | 1% |
| SMA 크로스오버 fast=20, slow=41 |
0.3% | -57.2% | 0.12 | 0.01 | 1.1x | 143 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=2.7 |
0.4% | -30.3% | 0.10 | 0.01 | 1.1x | 80 | 18% |
| Supertrend period=7, mult=4.7 |
-0.6% | -56.8% | 0.07 | -0.01 | 0.9x | 83 | 55% |
| MACD fast=23, slow=49, signal=19 |
-1.1% | -62.0% | 0.05 | -0.02 | 0.8x | 202 | 51% |
| EMA 크로스오버 fast=9, slow=211 |
-1.1% | -60.6% | 0.04 | -0.02 | 0.8x | 69 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-1.4% | -58.4% | 0.04 | -0.02 | 0.7x | 278 | 52% |
| Buy and hold | 2.6% | -65.4% | 0.24 | 0.04 | 1.7x | 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 22-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 22-day middle average