Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Dentsu Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Dentsu Group Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.5%, MDD -51.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.8%, drawdown -73.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.6%, MDD -64.4%, Sharpe 0.19, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 1.5%, MDD -51.2%, exposure 50%).
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=40, exitN=88 |
1.6% | -64.4% | 0.19 | 0.02 | 1.5x | 43 | 71% |
| SMA 크로스오버 fast=31, slow=181 |
1.5% | -51.2% | 0.18 | 0.03 | 1.5x | 49 | 50% |
| EMA 크로스오버 fast=62, slow=189 |
1.0% | -59.7% | 0.16 | 0.02 | 1.3x | 35 | 49% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=13, mult=3 |
0.2% | -8.7% | 0.08 | 0.03 | 1.1x | 6 | 0% |
| ADX / DI 방향성 period=36, threshold=16 |
-0.4% | -46.3% | 0.05 | -0.01 | 0.9x | 69 | 17% |
| ROC 모멘텀 n=175, threshold=-0.04 |
-2.1% | -71.3% | 0.03 | -0.03 | 0.6x | 189 | 57% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
-0.4% | -41.3% | 0.03 | -0.01 | 0.9x | 100 | 14% |
| Supertrend period=10, mult=3.9 |
-3.6% | -80.6% | -0.03 | -0.04 | 0.4x | 143 | 54% |
| MACD fast=15, slow=43, signal=18 |
-5.3% | -81.6% | -0.11 | -0.06 | 0.3x | 306 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-9.0% | -94.1% | -0.29 | -0.10 | 0.1x | 207 | 52% |
| Buy and hold | 1.8% | -73.8% | 0.23 | 0.02 | 1.6x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 88 days