Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TORIDOLL Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of TORIDOLL Holdings Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -73.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -35.1%, Sharpe 0.53, 30% exposure.
CAGR reference leader: Supertrend — CAGR 11.5%, MDD -62.6%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, k=2.3 |
9.1% | -35.1% | 0.53 | 0.26 | 6.1x | 88 | 30% |
| Supertrend period=9, mult=1.4 |
11.5% | -62.6% | 0.52 | 0.18 | 9.4x | 416 | 53% |
| EMA 크로스오버 fast=57, slow=338 |
10.9% | -53.6% | 0.50 | 0.20 | 8.4x | 15 | 66% |
| Parabolic SAR step=0.02, maxStep=0.1 |
10.2% | -51.8% | 0.48 | 0.20 | 7.4x | 342 | 52% |
| ROC 모멘텀 n=173, threshold=0 |
9.1% | -55.9% | 0.45 | 0.16 | 6.1x | 134 | 60% |
| ADX / DI 방향성 period=37, threshold=13 |
8.3% | -41.8% | 0.45 | 0.20 | 5.1x | 107 | 36% |
| MACD fast=24, slow=53, signal=18 |
8.0% | -46.6% | 0.43 | 0.17 | 4.9x | 186 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=25, mult=3.2 |
6.7% | -29.9% | 0.42 | 0.22 | 3.8x | 74 | 29% |
| SMA 크로스오버 fast=40, slow=205 |
7.8% | -52.3% | 0.41 | 0.15 | 4.7x | 33 | 56% |
| Donchian 채널 돌파 entryN=94, exitN=76 |
7.1% | -56.7% | 0.39 | 0.12 | 4.1x | 27 | 56% |
| Buy and hold | 14.8% | -73.8% | 0.54 | 0.20 | 17.4x | 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 37-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 37-day middle average