Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Air Water Inc. backtest
10 trend-following strategies were compared on the full daily history of Air Water Inc.. 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 7.6%, drawdown -53.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -25.1%, Sharpe 0.31, 12% exposure.
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=61, k=3.4 |
2.4% | -25.1% | 0.31 | 0.10 | 1.8x | 20 | 12% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=3.5 |
1.4% | -19.4% | 0.28 | 0.07 | 1.4x | 28 | 5% |
| ADX / DI 방향성 period=21, threshold=40 |
0.5% | -12.0% | 0.19 | 0.04 | 1.1x | 10 | 2% |
| SMA 크로스오버 fast=59, slow=265 |
1.6% | -50.0% | 0.18 | 0.03 | 1.5x | 31 | 57% |
| Donchian 채널 돌파 entryN=82, exitN=63 |
1.5% | -40.5% | 0.17 | 0.04 | 1.5x | 47 | 49% |
| EMA 크로스오버 fast=45, slow=208 |
1.1% | -62.4% | 0.16 | 0.02 | 1.3x | 37 | 60% |
| Supertrend period=13, mult=4.7 |
0.3% | -49.7% | 0.11 | 0.01 | 1.1x | 97 | 55% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.9% | -73.6% | 0.05 | -0.01 | 0.8x | 197 | 54% |
| ROC 모멘텀 n=83, threshold=0.1 |
-2.4% | -59.0% | -0.10 | -0.04 | 0.5x | 227 | 28% |
| MACD fast=19, slow=47, signal=16 |
-5.0% | -81.8% | -0.17 | -0.06 | 0.3x | 304 | 52% |
| Buy and hold | 7.6% | -53.4% | 0.40 | 0.14 | 6.5x | 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 61-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 61-day middle average