Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Electric Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Electric Industries, Ltd.. 2 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 8.4%, MDD -41.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.8%, drawdown -73.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -41.9%, Sharpe 0.48, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.6%, MDD -50.7%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 8.4%, MDD -41.9%, exposure 41%).
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=87, exitN=45 |
8.4% | -41.9% | 0.48 | 0.20 | 8.5x | 50 | 41% |
| SMA 크로스오버 fast=34, slow=63 |
8.6% | -50.7% | 0.45 | 0.17 | 8.9x | 106 | 56% |
| ADX / DI 방향성 period=46, threshold=26 |
3.9% | -22.9% | 0.45 | 0.17 | 2.8x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=4 |
4.0% | -45.4% | 0.33 | 0.09 | 2.8x | 54 | 18% |
| EMA 크로스오버 fast=39, slow=58 |
4.0% | -63.1% | 0.28 | 0.06 | 2.8x | 90 | 55% |
| Supertrend period=14, mult=4.5 |
3.8% | -72.4% | 0.27 | 0.05 | 2.7x | 114 | 54% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
2.7% | -58.3% | 0.23 | 0.05 | 2.0x | 96 | 31% |
| ROC 모멘텀 n=74, threshold=0.17 |
2.6% | -52.1% | 0.23 | 0.05 | 2.0x | 200 | 20% |
| MACD fast=19, slow=67, signal=19 |
-0.6% | -71.0% | 0.10 | -0.01 | 0.9x | 276 | 54% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-8.4% | -96.1% | -0.24 | -0.09 | 0.1x | 544 | 54% |
| Buy and hold | 7.8% | -73.9% | 0.39 | 0.11 | 7.4x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 45 days