Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyo Seikan Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toyo Seikan Group Holdings Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -68.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -68.9%, Sharpe 0.31, 79% 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=13, exitN=71 |
4.7% | -68.9% | 0.31 | 0.07 | 3.4x | 81 | 79% |
| SMA 크로스오버 fast=55, slow=76 |
2.8% | -69.5% | 0.24 | 0.04 | 2.1x | 103 | 54% |
| Supertrend period=6, mult=4.2 |
2.8% | -56.4% | 0.24 | 0.05 | 2.1x | 117 | 53% |
| EMA 크로스오버 fast=38, slow=212 |
1.7% | -62.8% | 0.19 | 0.03 | 1.6x | 41 | 50% |
| 볼린저 밴드 돌파 n=55, k=2 |
1.4% | -40.1% | 0.17 | 0.04 | 1.5x | 101 | 34% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=3.7 |
0.9% | -50.5% | 0.14 | 0.02 | 1.3x | 65 | 25% |
| ADX / DI 방향성 period=33, threshold=26 |
0.4% | -13.8% | 0.13 | 0.03 | 1.1x | 6 | 2% |
| MACD fast=18, slow=34, signal=23 |
-0.1% | -60.6% | 0.11 | -0.00 | 1.0x | 278 | 51% |
| ROC 모멘텀 n=125, threshold=0.17 |
0.2% | -50.6% | 0.10 | 0.00 | 1.1x | 160 | 23% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.4% | -67.1% | 0.06 | -0.02 | 0.7x | 343 | 52% |
| Buy and hold | 4.0% | -68.2% | 0.29 | 0.06 | 2.9x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 71 days