Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokuyama Corporation backtest
10 trend-following strategies were compared on the full daily history of Tokuyama Corporation. 8 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 4.6%, MDD -35.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.0%, drawdown -94.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -46.6%, Sharpe 0.40, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 4.6%, MDD -35.0%, exposure 15%).
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=60, k=2.5 |
6.5% | -46.6% | 0.40 | 0.14 | 5.0x | 56 | 25% |
| EMA 크로스오버 fast=47, slow=163 |
6.4% | -57.3% | 0.37 | 0.11 | 4.9x | 31 | 48% |
| SMA 크로스오버 fast=24, slow=199 |
6.4% | -62.1% | 0.37 | 0.10 | 4.9x | 37 | 49% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=3.7 |
5.5% | -51.9% | 0.36 | 0.11 | 4.0x | 62 | 29% |
| ADX / DI 방향성 period=37, threshold=20 |
4.6% | -35.0% | 0.35 | 0.13 | 3.1x | 50 | 15% |
| Supertrend period=10, mult=3.9 |
5.5% | -68.2% | 0.33 | 0.08 | 3.9x | 140 | 51% |
| ROC 모멘텀 n=138, threshold=0.16 |
4.2% | -48.9% | 0.30 | 0.09 | 2.9x | 144 | 29% |
| Donchian 채널 돌파 entryN=15, exitN=37 |
3.8% | -87.7% | 0.28 | 0.04 | 2.6x | 124 | 67% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.1% | -84.2% | 0.14 | 0.00 | 1.0x | 202 | 52% |
| MACD fast=13, slow=49, signal=19 |
-1.1% | -82.1% | 0.10 | -0.01 | 0.8x | 318 | 51% |
| Buy and hold | 2.0% | -94.2% | 0.26 | 0.02 | 1.7x | 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 60-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 60-day middle average