Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Isetan Mitsukoshi Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Isetan Mitsukoshi Holdings Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.0%, MDD -49.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.3%, drawdown -82.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -49.1%, Sharpe 0.50, 32% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 8.0%, MDD -49.1%, exposure 32%).
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=113, exitN=37 |
8.0% | -49.1% | 0.50 | 0.16 | 7.2x | 41 | 32% |
| SMA 크로스오버 fast=43, slow=212 |
5.3% | -70.6% | 0.34 | 0.08 | 3.8x | 35 | 50% |
| ADX / DI 방향성 period=22, threshold=36 |
2.1% | -18.2% | 0.33 | 0.11 | 1.7x | 12 | 3% |
| EMA 크로스오버 fast=17, slow=45 |
4.3% | -61.9% | 0.30 | 0.07 | 3.0x | 123 | 55% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
1.8% | -21.6% | 0.28 | 0.08 | 1.6x | 20 | 3% |
| ROC 모멘텀 n=82, threshold=-0.04 |
3.5% | -71.1% | 0.26 | 0.05 | 2.4x | 227 | 61% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=3.6 |
2.6% | -35.4% | 0.26 | 0.07 | 1.9x | 70 | 17% |
| Supertrend period=11, mult=3.4 |
3.1% | -61.3% | 0.25 | 0.05 | 2.2x | 176 | 54% |
| MACD fast=14, slow=35, signal=17 |
1.1% | -64.3% | 0.17 | 0.02 | 1.3x | 318 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.1% | -80.3% | 0.12 | -0.00 | 1.0x | 210 | 54% |
| Buy and hold | 4.3% | -82.2% | 0.30 | 0.05 | 3.0x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 37 days