Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TAKARA HOLDINGS INC. backtest
10 trend-following strategies were compared on the full daily history of TAKARA HOLDINGS INC.. 6 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 3.2%, MDD -34.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.3%, drawdown -88.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -34.3%, Sharpe 0.34, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 3.2%, MDD -34.3%, exposure 7%).
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=12, k=2.7 |
3.2% | -34.3% | 0.34 | 0.09 | 2.3x | 64 | 7% |
| Donchian 채널 돌파 entryN=102, exitN=39 |
2.8% | -73.7% | 0.25 | 0.04 | 2.1x | 45 | 31% |
| SMA 크로스오버 fast=18, slow=67 |
2.0% | -67.1% | 0.20 | 0.03 | 1.7x | 109 | 52% |
| EMA 크로스오버 fast=13, slow=82 |
1.6% | -52.9% | 0.18 | 0.03 | 1.5x | 109 | 50% |
| MACD fast=18, slow=22, signal=16 |
1.4% | -73.0% | 0.17 | 0.02 | 1.4x | 342 | 50% |
| Supertrend period=10, mult=3.2 |
1.3% | -69.6% | 0.17 | 0.02 | 1.4x | 190 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.5% | -69.2% | 0.09 | -0.01 | 0.9x | 334 | 51% |
| ROC 모멘텀 n=114, threshold=0.12 |
-0.2% | -74.3% | 0.08 | -0.00 | 1.0x | 195 | 28% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.8 |
-0.5% | -67.0% | 0.06 | -0.01 | 0.9x | 196 | 33% |
| ADX / DI 방향성 period=30, threshold=28 |
-0.6% | -35.1% | -0.08 | -0.02 | 0.8x | 18 | 3% |
| Buy and hold | 0.3% | -88.8% | 0.17 | 0.00 | 1.1x | 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 12-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 12-day middle average