Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Materials Corp. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Materials Corp.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -23.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.4%, drawdown -77.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -40.3%, Sharpe 0.46, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 3.2%, MDD -23.6%, exposure 4%).
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=37, k=2.9 |
5.6% | -40.3% | 0.46 | 0.14 | 4.3x | 48 | 15% |
| ADX / DI 방향성 period=21, threshold=35 |
3.2% | -23.6% | 0.42 | 0.13 | 2.3x | 14 | 4% |
| Donchian 채널 돌파 entryN=65, exitN=22 |
5.3% | -68.5% | 0.35 | 0.08 | 4.0x | 75 | 30% |
| SMA 크로스오버 fast=30, slow=59 |
3.6% | -73.4% | 0.27 | 0.05 | 2.5x | 123 | 51% |
| EMA 크로스오버 fast=51, slow=61 |
2.7% | -72.5% | 0.23 | 0.04 | 2.1x | 67 | 48% |
| Supertrend period=21, mult=5 |
2.6% | -78.8% | 0.23 | 0.03 | 2.0x | 99 | 46% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=2 |
1.4% | -68.3% | 0.17 | 0.02 | 1.5x | 167 | 30% |
| MACD fast=16, slow=51, signal=28 |
0.5% | -75.5% | 0.15 | 0.01 | 1.1x | 245 | 52% |
| ROC 모멘텀 n=72, threshold=0.14 |
0.9% | -71.4% | 0.14 | 0.01 | 1.3x | 263 | 25% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.0% | -90.8% | 0.09 | -0.01 | 0.8x | 413 | 52% |
| Buy and hold | 3.4% | -77.6% | 0.28 | 0.04 | 2.4x | 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 37-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 37-day middle average