Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Furukawa Electric Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Furukawa Electric Co., Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.2%, MDD -40.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.8%, drawdown -96.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -50.4%, Sharpe 0.60, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 11.2%, MDD -40.9%, exposure 19%).
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=70, exitN=33 |
13.5% | -50.4% | 0.60 | 0.27 | 29.1x | 58 | 32% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
11.2% | -40.9% | 0.57 | 0.27 | 17.0x | 40 | 19% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=23, mult=3.9 |
12.2% | -47.8% | 0.57 | 0.26 | 21.4x | 56 | 27% |
| SMA 크로스오버 fast=24, slow=73 |
10.3% | -72.1% | 0.46 | 0.14 | 13.6x | 98 | 49% |
| Supertrend period=28, mult=5 |
10.0% | -71.6% | 0.46 | 0.14 | 12.7x | 92 | 44% |
| ROC 모멘텀 n=60, threshold=0.14 |
9.1% | -60.3% | 0.46 | 0.15 | 10.2x | 244 | 26% |
| ADX / DI 방향성 period=15, threshold=23 |
8.6% | -66.1% | 0.46 | 0.13 | 9.0x | 188 | 24% |
| EMA 크로스오버 fast=10, slow=99 |
8.6% | -69.9% | 0.41 | 0.12 | 8.9x | 128 | 49% |
| Parabolic SAR step=0.015, maxStep=0.08 |
6.6% | -71.4% | 0.36 | 0.09 | 5.5x | 386 | 50% |
| MACD fast=23, slow=46, signal=21 |
4.3% | -88.7% | 0.29 | 0.05 | 3.1x | 254 | 51% |
| Buy and hold | 2.8% | -96.0% | 0.30 | 0.03 | 2.1x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 33 days