Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SUMCO Corporation backtest
10 trend-following strategies were compared on the full daily history of SUMCO Corporation. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.8%, MDD -35.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.9%, drawdown -92.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -35.5%, Sharpe 0.61, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -59.2%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 57.0%p (CAGR 11.8%, MDD -35.5%, exposure 17%).
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=45, k=2.8 |
11.8% | -35.5% | 0.61 | 0.33 | 13.1x | 40 | 17% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=3 |
11.4% | -40.1% | 0.55 | 0.28 | 12.1x | 74 | 25% |
| SMA 크로스오버 fast=46, slow=66 |
13.3% | -59.2% | 0.55 | 0.22 | 17.7x | 86 | 45% |
| Donchian 채널 돌파 entryN=48, exitN=60 |
12.4% | -58.2% | 0.52 | 0.21 | 14.8x | 39 | 59% |
| EMA 크로스오버 fast=51, slow=79 |
11.6% | -61.5% | 0.50 | 0.19 | 12.6x | 41 | 45% |
| ROC 모멘텀 n=90, threshold=0.04 |
9.8% | -68.7% | 0.45 | 0.14 | 8.6x | 197 | 42% |
| ADX / DI 방향성 period=25, threshold=20 |
7.6% | -42.8% | 0.43 | 0.18 | 5.4x | 70 | 18% |
| Supertrend period=8, mult=4.7 |
4.1% | -65.4% | 0.30 | 0.06 | 2.5x | 90 | 53% |
| MACD fast=15, slow=48, signal=10 |
-0.9% | -82.5% | 0.15 | -0.01 | 0.8x | 310 | 47% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.0% | -76.3% | 0.13 | -0.03 | 0.6x | 357 | 57% |
| Buy and hold | 6.9% | -92.5% | 0.30 | 0.07 | 4.6x | 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 45-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 45-day middle average