Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toei Animation Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toei Animation Co., Ltd.. 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 12.7%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -77.0%, Sharpe 0.48, 87% 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=9, exitN=72 |
11.2% | -77.0% | 0.48 | 0.15 | 15.3x | 77 | 87% |
| Supertrend period=12, mult=5 |
8.7% | -75.3% | 0.43 | 0.12 | 8.4x | 87 | 60% |
| SMA 크로스오버 fast=42, slow=58 |
8.0% | -64.1% | 0.42 | 0.13 | 7.3x | 132 | 55% |
| EMA 크로스오버 fast=44, slow=208 |
7.7% | -66.7% | 0.41 | 0.12 | 6.7x | 34 | 63% |
| 볼린저 밴드 돌파 n=29, k=3 |
5.0% | -44.1% | 0.37 | 0.11 | 3.5x | 81 | 19% |
| ROC 모멘텀 n=85, threshold=-0.1 |
6.2% | -73.3% | 0.35 | 0.08 | 4.7x | 213 | 78% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=2.2 |
3.8% | -55.3% | 0.28 | 0.07 | 2.6x | 131 | 39% |
| ADX / DI 방향성 period=22, threshold=25 |
3.0% | -40.4% | 0.26 | 0.07 | 2.1x | 86 | 18% |
| Parabolic SAR step=0.02, maxStep=0.38 |
1.2% | -76.0% | 0.18 | 0.02 | 1.4x | 469 | 51% |
| MACD fast=11, slow=40, signal=17 |
-1.6% | -87.1% | 0.07 | -0.02 | 0.7x | 349 | 52% |
| Buy and hold | 12.7% | -72.3% | 0.51 | 0.18 | 21.5x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 72 days