Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Oriental Land Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Oriental Land Co., Ltd.. 0 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 6.5%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -30.5%, Sharpe 0.59, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -50.5%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 32.2%p (CAGR 6.5%, MDD -30.5%, exposure 27%).
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=120, exitN=21 |
6.5% | -30.5% | 0.59 | 0.21 | 5.0x | 51 | 27% |
| ADX / DI 방향성 period=30, threshold=27 |
3.9% | -15.1% | 0.58 | 0.26 | 2.7x | 26 | 8% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
5.7% | -27.3% | 0.50 | 0.21 | 4.1x | 75 | 27% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=24, mult=3.7 |
5.7% | -32.9% | 0.48 | 0.17 | 4.1x | 63 | 34% |
| SMA 크로스오버 fast=21, slow=95 |
6.7% | -50.5% | 0.45 | 0.13 | 5.3x | 67 | 57% |
| EMA 크로스오버 fast=40, slow=48 |
5.9% | -51.6% | 0.41 | 0.11 | 4.3x | 79 | 57% |
| Supertrend period=18, mult=4.6 |
4.8% | -40.4% | 0.35 | 0.12 | 3.3x | 99 | 59% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.5% | -43.6% | 0.34 | 0.10 | 3.1x | 191 | 54% |
| ROC 모멘텀 n=122, threshold=0.11 |
3.6% | -40.4% | 0.33 | 0.09 | 2.5x | 136 | 33% |
| MACD fast=17, slow=46, signal=17 |
0.7% | -49.6% | 0.13 | 0.01 | 1.2x | 287 | 53% |
| Buy and hold | 8.6% | -62.7% | 0.46 | 0.14 | 8.2x | 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 120 days
- Sell — Sell when price breaks below the lowest low of the last 21 days