Trend-Following Backtester · Guide · backtest 한국어
equity · JP
LIXIL Corporation backtest
10 trend-following strategies were compared on the full daily history of LIXIL Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.6%, MDD -20.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.8%, drawdown -66.6%).
Sharpe leader (same as main): Supertrend — CAGR 0.9%, MDD -59.3%, Sharpe 0.15, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 0.6%, MDD -20.8%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=5 |
0.9% | -59.3% | 0.15 | 0.01 | 1.2x | 95 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=10, mult=3.5 |
0.6% | -25.5% | 0.13 | 0.02 | 1.2x | 24 | 4% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
0.6% | -20.8% | 0.13 | 0.03 | 1.2x | 14 | 4% |
| SMA 크로스오버 fast=17, slow=210 |
0.6% | -46.4% | 0.13 | 0.01 | 1.2x | 49 | 47% |
| Donchian 채널 돌파 entryN=49, exitN=55 |
0.2% | -54.1% | 0.12 | 0.00 | 1.0x | 63 | 58% |
| EMA 크로스오버 fast=46, slow=217 |
0.1% | -63.8% | 0.11 | 0.00 | 1.0x | 35 | 48% |
| ADX / DI 방향성 period=27, threshold=23 |
-0.3% | -36.1% | 0.02 | -0.01 | 0.9x | 52 | 10% |
| ROC 모멘텀 n=138, threshold=-0.04 |
-2.8% | -61.0% | -0.01 | -0.05 | 0.5x | 197 | 57% |
| MACD fast=18, slow=44, signal=16 |
-3.4% | -76.8% | -0.04 | -0.04 | 0.4x | 279 | 52% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-8.1% | -90.2% | -0.26 | -0.09 | 0.1x | 451 | 51% |
| Buy and hold | 0.8% | -66.6% | 0.19 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)