Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Chemical Group Corporation backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Chemical Group Corporation. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.5%, MDD -50.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.0%, drawdown -76.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -8.9%, Sharpe 0.36, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -67.0%, exposure 51%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 67.4%p (CAGR 3.5%, MDD -50.0%, exposure 52%).
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=28, k=3.5 |
1.0% | -8.9% | 0.36 | 0.11 | 1.3x | 2 | 1% |
| SMA 크로스오버 fast=24, slow=140 |
3.8% | -67.0% | 0.25 | 0.06 | 2.7x | 59 | 51% |
| EMA 크로스오버 fast=41, slow=250 |
3.5% | -50.0% | 0.25 | 0.07 | 2.5x | 33 | 52% |
| Donchian 채널 돌파 entryN=39, exitN=45 |
0.3% | -74.7% | 0.14 | 0.00 | 1.1x | 67 | 53% |
| Supertrend period=29, mult=4.9 |
-2.3% | -77.9% | 0.03 | -0.03 | 0.5x | 97 | 51% |
| ROC 모멘텀 n=140, threshold=0.12 |
-1.0% | -59.9% | 0.02 | -0.02 | 0.8x | 177 | 32% |
| ADX / DI 방향성 period=26, threshold=37 |
-0.0% | -10.7% | 0.01 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=2.2 |
-3.0% | -84.3% | -0.04 | -0.04 | 0.5x | 127 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.3% | -89.4% | -0.09 | -0.06 | 0.2x | 215 | 52% |
| MACD fast=16, slow=37, signal=16 |
-9.3% | -94.2% | -0.27 | -0.10 | 0.1x | 366 | 52% |
| Buy and hold | 2.0% | -76.2% | 0.24 | 0.03 | 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 28-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average