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 15.3%, drawdown -73.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -35.1%, Sharpe 0.54, 30% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.9%, MDD -51.8%, exposure 52%.
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 |
9.4% | -35.1% | 0.54 | 0.27 | 6.3x | 87 | 30% |
| Parabolic SAR step=0.02, maxStep=0.1 |
10.9% | -51.8% | 0.50 | 0.21 | 8.2x | 339 | 52% |
| Supertrend period=25, mult=2.5 |
9.3% | -46.6% | 0.46 | 0.20 | 6.1x | 195 | 52% |
| ROC 모멘텀 n=149, threshold=0.05 |
7.7% | -42.5% | 0.41 | 0.18 | 4.6x | 175 | 52% |
| ADX / DI 방향성 period=36, threshold=13 |
6.8% | -43.3% | 0.40 | 0.16 | 3.9x | 119 | 36% |
| Donchian 채널 돌파 entryN=95, exitN=77 |
7.2% | -57.9% | 0.39 | 0.12 | 4.2x | 27 | 55% |
| SMA 크로스오버 fast=25, slow=176 |
7.2% | -46.2% | 0.39 | 0.16 | 4.1x | 44 | 56% |
| EMA 크로스오버 fast=23, slow=166 |
6.0% | -53.3% | 0.35 | 0.11 | 3.3x | 42 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.3 |
4.5% | -44.1% | 0.31 | 0.10 | 2.5x | 99 | 38% |
| MACD fast=18, slow=41, signal=9 |
4.7% | -56.9% | 0.31 | 0.08 | 2.6x | 291 | 51% |
| Buy and hold | 15.3% | -73.8% | 0.55 | 0.21 | 18.3x | 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 37-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 37-day middle average