Trend-Following Backtester · Guide · backtest 한국어
equity · JP
AIMECHATEC Ltd. backtest
10 trend-following strategies were compared on the full daily history of AIMECHATEC Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 80.4%, MDD -36.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 60.4%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 80.4%, MDD -36.8%, Sharpe 1.27, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 80.4%, MDD -36.8%, exposure 73%).
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=25, exitN=56 |
80.4% | -36.8% | 1.27 | 2.18 | 20.1x | 9 | 73% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
55.7% | -35.5% | 1.23 | 1.57 | 9.5x | 6 | 24% |
| ADX / DI 방향성 period=35, threshold=14 |
72.3% | -50.3% | 1.21 | 1.44 | 15.9x | 9 | 54% |
| SMA 크로스오버 fast=43, slow=83 |
69.6% | -45.6% | 1.17 | 1.53 | 14.7x | 10 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
51.5% | -44.9% | 1.13 | 1.15 | 8.3x | 10 | 30% |
| ROC 모멘텀 n=43, threshold=-0.02 |
61.4% | -46.2% | 1.12 | 1.33 | 11.4x | 68 | 59% |
| EMA 크로스오버 fast=48, slow=191 |
58.7% | -65.6% | 1.06 | 0.89 | 10.5x | 5 | 58% |
| Supertrend period=12, mult=5 |
55.0% | -61.5% | 1.01 | 0.89 | 9.3x | 11 | 78% |
| Parabolic SAR step=0.01, maxStep=0.34 |
25.6% | -64.0% | 0.70 | 0.40 | 3.2x | 57 | 50% |
| MACD fast=21, slow=46, signal=12 |
20.3% | -60.9% | 0.62 | 0.33 | 2.6x | 56 | 48% |
| Buy and hold | 60.4% | -77.0% | 1.02 | 0.78 | 11.1x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 56 days