Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seria Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Seria Co., Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.0%, MDD -39.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.5%, MDD -39.8%, Sharpe 0.84, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 20.0%, MDD -39.5%, exposure 41%).
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=20, exitN=15 |
20.5% | -39.8% | 0.84 | 0.52 | 72.2x | 113 | 46% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
20.0% | -39.5% | 0.84 | 0.51 | 65.5x | 119 | 41% |
| SMA 크로스오버 fast=14, slow=47 |
19.8% | -63.7% | 0.75 | 0.31 | 63.6x | 115 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=11, mult=2.5 |
15.1% | -39.8% | 0.71 | 0.38 | 25.4x | 95 | 35% |
| EMA 크로스오버 fast=21, slow=28 |
17.5% | -61.4% | 0.69 | 0.28 | 40.5x | 119 | 54% |
| Supertrend period=14, mult=4.2 |
14.9% | -50.0% | 0.64 | 0.30 | 24.1x | 91 | 53% |
| MACD fast=26, slow=40, signal=19 |
11.0% | -71.3% | 0.51 | 0.15 | 11.0x | 177 | 55% |
| ROC 모멘텀 n=72, threshold=-0.01 |
11.1% | -61.7% | 0.50 | 0.18 | 11.1x | 201 | 57% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.8% | -62.8% | 0.36 | 0.09 | 3.6x | 163 | 51% |
| ADX / DI 방향성 period=12, threshold=27 |
4.8% | -53.5% | 0.33 | 0.09 | 3.0x | 169 | 26% |
| Buy and hold | 5.5% | -93.8% | 0.36 | 0.06 | 3.4x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 15 days