Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tosoh Corporation backtest
10 trend-following strategies were compared on the full daily history of Tosoh Corporation. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -36.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.9%, drawdown -83.3%).
Sharpe leader (same as main): MACD — CAGR 7.0%, MDD -48.7%, Sharpe 0.39, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 4.7%, MDD -36.3%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=46, signal=20 |
7.0% | -48.7% | 0.39 | 0.14 | 6.0x | 222 | 53% |
| ROC 모멘텀 n=42, threshold=-0.12 |
6.7% | -64.6% | 0.36 | 0.10 | 5.6x | 223 | 83% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
4.7% | -36.3% | 0.32 | 0.13 | 3.4x | 138 | 37% |
| Donchian 채널 돌파 entryN=42, exitN=31 |
4.9% | -54.4% | 0.32 | 0.09 | 3.6x | 91 | 48% |
| Supertrend period=23, mult=5 |
4.7% | -52.5% | 0.31 | 0.09 | 3.4x | 99 | 52% |
| SMA 크로스오버 fast=18, slow=84 |
4.4% | -62.2% | 0.30 | 0.07 | 3.2x | 97 | 56% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=1.8 |
2.8% | -57.8% | 0.24 | 0.05 | 2.1x | 210 | 35% |
| EMA 크로스오버 fast=44, slow=209 |
2.7% | -59.5% | 0.23 | 0.05 | 2.1x | 39 | 54% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.9% | -66.5% | 0.20 | 0.03 | 1.6x | 440 | 54% |
| ADX / DI 방향성 period=17, threshold=22 |
0.8% | -65.9% | 0.13 | 0.01 | 1.2x | 138 | 22% |
| Buy and hold | 4.9% | -83.3% | 0.32 | 0.06 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/46) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line