Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Towa Corporation backtest
10 trend-following strategies were compared on the full daily history of Towa Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.9%, MDD -45.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.3%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.3%, MDD -53.5%, Sharpe 0.55, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.3%, MDD -63.7%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 11.9%, MDD -45.0%, exposure 24%).
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=39, k=1.9 |
13.3% | -53.5% | 0.55 | 0.25 | 24.2x | 130 | 30% |
| EMA 크로스오버 fast=35, slow=92 |
14.3% | -63.0% | 0.54 | 0.23 | 30.7x | 49 | 53% |
| SMA 크로스오버 fast=30, slow=126 |
14.3% | -63.7% | 0.54 | 0.23 | 30.7x | 49 | 53% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=1.8 |
11.9% | -45.0% | 0.53 | 0.26 | 17.6x | 230 | 24% |
| Donchian 채널 돌파 entryN=79, exitN=70 |
13.0% | -64.3% | 0.51 | 0.20 | 22.8x | 36 | 53% |
| MACD fast=7, slow=45, signal=8 |
12.6% | -70.3% | 0.50 | 0.18 | 20.8x | 522 | 52% |
| Supertrend period=24, mult=5 |
12.0% | -62.8% | 0.49 | 0.19 | 18.1x | 106 | 46% |
| ROC 모멘텀 n=59, threshold=0.06 |
10.3% | -79.3% | 0.45 | 0.13 | 12.3x | 298 | 42% |
| Parabolic SAR step=0.025, maxStep=0.22 |
10.0% | -73.6% | 0.44 | 0.14 | 11.4x | 552 | 49% |
| ADX / DI 방향성 period=32, threshold=21 |
7.8% | -50.0% | 0.43 | 0.16 | 6.8x | 48 | 16% |
| Buy and hold | 5.3% | -96.3% | 0.37 | 0.06 | 3.7x | 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 39-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 39-day middle average