Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tsumura & Co. backtest
10 trend-following strategies were compared on the full daily history of Tsumura & Co.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -50.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -51.8%, Sharpe 0.48, 51% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=33, exitN=35 |
8.4% | -51.8% | 0.48 | 0.16 | 8.0x | 78 | 51% |
| Supertrend period=10, mult=4.7 |
7.5% | -58.8% | 0.44 | 0.13 | 6.5x | 87 | 53% |
| SMA 크로스오버 fast=31, slow=68 |
7.7% | -56.1% | 0.44 | 0.14 | 6.7x | 92 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=31, mult=3.8 |
5.5% | -39.0% | 0.40 | 0.14 | 4.0x | 54 | 24% |
| ADX / DI 방향성 period=36, threshold=18 |
4.3% | -40.8% | 0.35 | 0.10 | 2.9x | 50 | 18% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
4.1% | -33.8% | 0.35 | 0.12 | 2.8x | 34 | 17% |
| EMA 크로스오버 fast=52, slow=204 |
4.9% | -47.4% | 0.32 | 0.10 | 3.4x | 32 | 49% |
| ROC 모멘텀 n=125, threshold=0.16 |
2.5% | -57.1% | 0.23 | 0.04 | 1.9x | 162 | 26% |
| MACD fast=16, slow=48, signal=24 |
-0.1% | -63.4% | 0.10 | -0.00 | 1.0x | 255 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.4% | -74.3% | 0.09 | -0.01 | 0.9x | 202 | 52% |
| Buy and hold | 10.1% | -50.8% | 0.47 | 0.20 | 12.0x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 35 days