Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Makino Milling Machine Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Makino Milling Machine Co., Ltd.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -32.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -89.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -32.4%, Sharpe 0.70, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.5%, MDD -64.7%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 9.2%, MDD -32.4%, exposure 11%).
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=52, k=3.1 |
9.2% | -32.4% | 0.70 | 0.28 | 9.7x | 21 | 11% |
| Donchian 채널 돌파 entryN=37, exitN=51 |
11.5% | -64.7% | 0.52 | 0.18 | 16.2x | 69 | 59% |
| SMA 크로스오버 fast=21, slow=122 |
10.8% | -57.5% | 0.50 | 0.19 | 13.9x | 59 | 56% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=4 |
7.2% | -52.5% | 0.50 | 0.14 | 6.0x | 58 | 17% |
| ADX / DI 방향성 period=11, threshold=37 |
5.5% | -33.1% | 0.50 | 0.17 | 4.0x | 88 | 10% |
| EMA 크로스오버 fast=37, slow=60 |
9.7% | -61.0% | 0.47 | 0.16 | 10.7x | 67 | 56% |
| ROC 모멘텀 n=61, threshold=0 |
9.1% | -76.0% | 0.46 | 0.12 | 9.4x | 325 | 55% |
| Parabolic SAR step=0.02, maxStep=0.02 |
8.6% | -75.2% | 0.44 | 0.11 | 8.3x | 141 | 55% |
| Supertrend period=13, mult=3 |
5.6% | -68.6% | 0.34 | 0.08 | 4.1x | 213 | 55% |
| MACD fast=10, slow=47, signal=18 |
-0.6% | -85.2% | 0.12 | -0.01 | 0.9x | 357 | 53% |
| Buy and hold | 6.6% | -89.0% | 0.36 | 0.07 | 5.1x | 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 52-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 52-day middle average