Trend-Following Backtester · Guide · backtest 한국어
equity · JP
IBIDEN CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of IBIDEN CO., LTD.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.9%, MDD -49.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.7%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -49.0%, Sharpe 0.76, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 20.9%, MDD -49.0%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=72, exitN=59 |
20.9% | -49.0% | 0.76 | 0.43 | 129.4x | 37 | 49% |
| SMA 크로스오버 fast=8, slow=141 |
17.6% | -49.0% | 0.66 | 0.36 | 64.8x | 75 | 55% |
| EMA 크로스오버 fast=39, slow=193 |
17.1% | -59.0% | 0.64 | 0.29 | 57.2x | 35 | 58% |
| ADX / DI 방향성 period=28, threshold=23 |
9.8% | -34.9% | 0.59 | 0.28 | 11.1x | 44 | 13% |
| 볼린저 밴드 돌파 n=50, k=2 |
12.4% | -57.2% | 0.58 | 0.22 | 20.1x | 94 | 35% |
| ROC 모멘텀 n=70, threshold=0.14 |
13.0% | -62.1% | 0.58 | 0.21 | 23.0x | 247 | 33% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=3.5 |
11.5% | -55.3% | 0.55 | 0.21 | 16.3x | 80 | 34% |
| Supertrend period=23, mult=4.3 |
9.9% | -62.5% | 0.45 | 0.16 | 11.1x | 122 | 58% |
| MACD fast=15, slow=46, signal=19 |
0.0% | -90.8% | 0.16 | 0.00 | 1.0x | 309 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-1.7% | -94.1% | 0.11 | -0.02 | 0.7x | 445 | 53% |
| Buy and hold | 12.7% | -90.9% | 0.49 | 0.14 | 21.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 72 days
- Sell — Sell when price breaks below the lowest low of the last 59 days