Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Taiheiyo Cement Corporation backtest
10 trend-following strategies were compared on the full daily history of Taiheiyo Cement Corporation. 3 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 6.3%, MDD -44.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.1%, drawdown -85.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -44.9%, Sharpe 0.36, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 6.3%, MDD -44.9%, exposure 61%).
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=47, exitN=58 |
6.3% | -44.9% | 0.36 | 0.14 | 5.1x | 53 | 61% |
| EMA 크로스오버 fast=52, slow=209 |
4.6% | -56.6% | 0.31 | 0.08 | 3.3x | 31 | 53% |
| SMA 크로스오버 fast=45, slow=187 |
3.5% | -60.0% | 0.26 | 0.06 | 2.5x | 39 | 54% |
| ROC 모멘텀 n=57, threshold=-0.15 |
2.6% | -73.9% | 0.24 | 0.04 | 2.0x | 165 | 85% |
| 볼린저 밴드 돌파 n=45, k=2.1 |
0.9% | -54.2% | 0.14 | 0.02 | 1.3x | 116 | 32% |
| ADX / DI 방향성 period=35, threshold=25 |
0.7% | -19.6% | 0.14 | 0.04 | 1.2x | 18 | 6% |
| Supertrend period=25, mult=4.3 |
-1.3% | -72.7% | 0.08 | -0.02 | 0.7x | 122 | 52% |
| MACD fast=17, slow=31, signal=17 |
-1.6% | -82.8% | 0.07 | -0.02 | 0.6x | 331 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=2.4 |
-0.8% | -70.0% | 0.06 | -0.01 | 0.8x | 126 | 34% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.8% | -93.3% | -0.10 | -0.06 | 0.2x | 449 | 51% |
| Buy and hold | 3.1% | -85.1% | 0.27 | 0.04 | 2.3x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 58 days