Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DENTSU SOKEN INC. backtest
10 trend-following strategies were compared on the full daily history of DENTSU SOKEN INC.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.0%, MDD -44.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -93.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -44.4%, Sharpe 0.36, 27% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.5%, MDD -55.1%, exposure 63%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 49.0%p (CAGR 5.0%, MDD -44.4%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=2.3 |
5.0% | -44.4% | 0.36 | 0.11 | 3.5x | 127 | 27% |
| Donchian 채널 돌파 entryN=31, exitN=54 |
5.5% | -55.1% | 0.33 | 0.10 | 3.9x | 73 | 63% |
| Parabolic SAR step=0.01, maxStep=0.28 |
3.6% | -76.5% | 0.27 | 0.05 | 2.5x | 303 | 51% |
| ROC 모멘텀 n=109, threshold=-0.04 |
2.5% | -65.1% | 0.23 | 0.04 | 1.9x | 201 | 62% |
| MACD fast=9, slow=30, signal=23 |
2.6% | -70.5% | 0.23 | 0.04 | 1.9x | 348 | 51% |
| EMA 크로스오버 fast=28, slow=63 |
1.9% | -73.2% | 0.21 | 0.03 | 1.6x | 81 | 55% |
| SMA 크로스오버 fast=11, slow=137 |
1.4% | -66.7% | 0.19 | 0.02 | 1.4x | 73 | 54% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=1.5 |
1.0% | -66.9% | 0.15 | 0.01 | 1.3x | 233 | 33% |
| ADX / DI 방향성 period=29, threshold=11 |
0.3% | -63.0% | 0.14 | 0.01 | 1.1x | 273 | 43% |
| Supertrend period=11, mult=1.7 |
-0.5% | -89.5% | 0.11 | -0.01 | 0.9x | 419 | 54% |
| Buy and hold | 5.1% | -93.4% | 0.32 | 0.05 | 3.6x | 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 (2.3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average