Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tsugami Corp. backtest
10 trend-following strategies were compared on the full daily history of Tsugami Corp.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -44.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.0%, drawdown -86.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.5%, MDD -44.7%, Sharpe 0.73, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -67.3%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 17.5%, MDD -44.7%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=23, mult=3 |
17.5% | -44.7% | 0.73 | 0.39 | 61.2x | 66 | 37% |
| Donchian 채널 돌파 entryN=83, exitN=24 |
16.3% | -45.1% | 0.72 | 0.36 | 47.3x | 56 | 33% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
15.9% | -52.8% | 0.70 | 0.30 | 44.0x | 120 | 35% |
| SMA 크로스오버 fast=30, slow=84 |
17.9% | -67.3% | 0.67 | 0.27 | 67.1x | 75 | 54% |
| Supertrend period=23, mult=5 |
16.8% | -65.3% | 0.65 | 0.26 | 53.0x | 78 | 53% |
| EMA 크로스오버 fast=11, slow=210 |
16.5% | -65.9% | 0.64 | 0.25 | 49.5x | 53 | 52% |
| ADX / DI 방향성 period=20, threshold=21 |
11.6% | -49.6% | 0.59 | 0.23 | 16.4x | 142 | 26% |
| ROC 모멘텀 n=97, threshold=-0.01 |
12.9% | -75.9% | 0.54 | 0.17 | 22.2x | 235 | 57% |
| MACD fast=16, slow=52, signal=16 |
7.1% | -83.6% | 0.38 | 0.09 | 5.8x | 300 | 52% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.0% | -88.5% | 0.25 | 0.03 | 2.1x | 426 | 53% |
| Buy and hold | 12.0% | -86.7% | 0.48 | 0.14 | 18.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 76-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 76-day average