Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Recruit Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Recruit Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.5%, MDD -36.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.5%, drawdown -58.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.4%, MDD -33.9%, Sharpe 0.92, 52% exposure.
CAGR reference leader: Supertrend — CAGR 21.5%, MDD -36.4%, exposure 63%.
Return/drawdown alternative: Supertrend — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 24.4%p (CAGR 21.5%, MDD -36.4%, exposure 63%).
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=150, k=1.2 |
20.4% | -33.9% | 0.92 | 0.60 | 9.1x | 17 | 52% |
| Supertrend period=13, mult=5 |
21.5% | -36.4% | 0.88 | 0.59 | 10.1x | 35 | 63% |
| SMA 크로스오버 fast=14, slow=51 |
21.4% | -43.5% | 0.87 | 0.49 | 10.0x | 49 | 64% |
| Donchian 채널 돌파 entryN=91, exitN=38 |
17.7% | -33.2% | 0.87 | 0.53 | 7.0x | 21 | 48% |
| EMA 크로스오버 fast=16, slow=67 |
20.3% | -34.8% | 0.84 | 0.58 | 9.0x | 45 | 64% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=17, mult=1.9 |
17.3% | -35.6% | 0.79 | 0.48 | 6.6x | 55 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
18.1% | -38.6% | 0.78 | 0.47 | 7.2x | 97 | 59% |
| MACD fast=19, slow=59, signal=17 |
14.3% | -39.4% | 0.68 | 0.36 | 4.9x | 117 | 53% |
| ROC 모멘텀 n=119, threshold=0.06 |
14.1% | -42.2% | 0.67 | 0.33 | 4.8x | 93 | 57% |
| ADX / DI 방향성 period=29, threshold=7 |
11.0% | -55.4% | 0.55 | 0.20 | 3.4x | 171 | 59% |
| Buy and hold | 26.5% | -58.2% | 0.83 | 0.46 | 16.3x | 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 150-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 150-day middle average