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 19.3%, MDD -39.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.8%, drawdown -93.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -39.8%, Sharpe 0.82, 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 19.3%, 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 |
19.8% | -39.8% | 0.82 | 0.50 | 62.8x | 113 | 46% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
19.3% | -39.5% | 0.82 | 0.49 | 57.0x | 119 | 41% |
| SMA 크로스오버 fast=14, slow=47 |
19.2% | -63.7% | 0.74 | 0.30 | 55.3x | 115 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=11, mult=2.5 |
15.0% | -39.8% | 0.70 | 0.38 | 24.2x | 94 | 35% |
| EMA 크로스오버 fast=21, slow=28 |
16.9% | -61.4% | 0.67 | 0.27 | 35.2x | 119 | 53% |
| Supertrend period=14, mult=4.2 |
14.2% | -50.0% | 0.62 | 0.28 | 21.0x | 91 | 52% |
| MACD fast=26, slow=40, signal=19 |
10.4% | -71.3% | 0.49 | 0.15 | 9.6x | 177 | 55% |
| ROC 모멘텀 n=72, threshold=-0.01 |
10.4% | -61.7% | 0.49 | 0.17 | 9.7x | 201 | 57% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.2% | -62.8% | 0.34 | 0.08 | 3.2x | 163 | 51% |
| ADX / DI 방향성 period=12, threshold=27 |
4.6% | -53.5% | 0.32 | 0.09 | 2.8x | 168 | 26% |
| Buy and hold | 4.8% | -93.8% | 0.35 | 0.05 | 2.9x | 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