Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyu Fudosan Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Tokyu Fudosan Holdings Corp.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -18.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.9%, drawdown -61.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -25.1%, Sharpe 0.44, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -32.2%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 2.3%, MDD -18.1%, exposure 9%).
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=64, k=2.9 |
4.3% | -25.1% | 0.44 | 0.17 | 1.7x | 16 | 19% |
| Donchian 채널 돌파 entryN=79, exitN=59 |
5.9% | -32.2% | 0.41 | 0.18 | 2.1x | 18 | 49% |
| SMA 크로스오버 fast=80, slow=159 |
4.7% | -46.2% | 0.32 | 0.10 | 1.8x | 18 | 52% |
| ADX / DI 방향성 period=16, threshold=31 |
2.3% | -18.1% | 0.32 | 0.13 | 1.3x | 20 | 9% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=13, mult=2.9 |
2.5% | -27.0% | 0.30 | 0.09 | 1.4x | 36 | 14% |
| EMA 크로스오버 fast=41, slow=227 |
-0.5% | -54.4% | 0.08 | -0.01 | 0.9x | 19 | 53% |
| ROC 모멘텀 n=98, threshold=0.01 |
-1.2% | -52.5% | 0.03 | -0.02 | 0.9x | 118 | 52% |
| Supertrend period=19, mult=2.4 |
-2.9% | -54.7% | -0.03 | -0.05 | 0.7x | 131 | 53% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.0% | -64.8% | -0.05 | -0.05 | 0.7x | 99 | 55% |
| MACD fast=16, slow=24, signal=16 |
-3.9% | -61.4% | -0.10 | -0.06 | 0.6x | 191 | 49% |
| Buy and hold | 1.9% | -61.8% | 0.22 | 0.03 | 1.3x | 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 64-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 64-day middle average