Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Trend Micro Incorporated backtest
10 trend-following strategies were compared on the full daily history of Trend Micro Incorporated. 4 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 1.5%, MDD -54.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.4%, drawdown -84.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.5%, MDD -54.1%, Sharpe 0.18, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 1.5%, MDD -54.1%, exposure 35%).
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=94, exitN=38 |
1.5% | -54.1% | 0.18 | 0.03 | 1.5x | 48 | 35% |
| EMA 크로스오버 fast=37, slow=54 |
-0.5% | -79.9% | 0.11 | -0.01 | 0.9x | 79 | 52% |
| Supertrend period=23, mult=4 |
-1.3% | -74.7% | 0.09 | -0.02 | 0.7x | 135 | 50% |
| SMA 크로스오버 fast=19, slow=106 |
-1.2% | -80.2% | 0.08 | -0.02 | 0.7x | 81 | 52% |
| 볼린저 밴드 돌파 n=43, k=0.8 |
-2.0% | -62.6% | 0.04 | -0.03 | 0.6x | 223 | 45% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.5% | -66.4% | 0.01 | -0.05 | 0.4x | 321 | 52% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=23, mult=0.7 |
-2.7% | -67.3% | 0.01 | -0.04 | 0.5x | 243 | 47% |
| ROC 모멘텀 n=118, threshold=0.05 |
-2.5% | -77.9% | 0.01 | -0.03 | 0.5x | 245 | 43% |
| MACD fast=18, slow=47, signal=5 |
-3.9% | -73.9% | 0.00 | -0.05 | 0.4x | 465 | 52% |
| ADX / DI 방향성 period=15, threshold=12 |
-7.5% | -92.0% | -0.17 | -0.08 | 0.1x | 517 | 48% |
| Buy and hold | -1.4% | -84.1% | 0.17 | -0.02 | 0.7x | 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 94 days
- Sell — Sell when price breaks below the lowest low of the last 38 days