Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Brother Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Brother Industries, Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -76.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -43.8%, Sharpe 0.40, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=42, exitN=56 |
7.2% | -43.8% | 0.40 | 0.17 | 6.0x | 61 | 58% |
| SMA 크로스오버 fast=19, slow=206 |
6.7% | -56.4% | 0.39 | 0.12 | 5.2x | 51 | 57% |
| EMA 크로스오버 fast=30, slow=145 |
6.4% | -52.3% | 0.37 | 0.12 | 4.9x | 55 | 60% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
4.6% | -51.1% | 0.35 | 0.09 | 3.2x | 85 | 30% |
| ROC 모멘텀 n=149, threshold=0.02 |
4.9% | -69.9% | 0.32 | 0.07 | 3.4x | 141 | 55% |
| Supertrend period=27, mult=4.5 |
4.3% | -58.1% | 0.29 | 0.07 | 2.9x | 111 | 58% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=16, mult=1.2 |
3.7% | -60.9% | 0.27 | 0.06 | 2.6x | 163 | 50% |
| ADX / DI 방향성 period=27, threshold=22 |
2.3% | -39.4% | 0.25 | 0.06 | 1.8x | 61 | 14% |
| Parabolic SAR step=0.01, maxStep=0.08 |
1.9% | -64.2% | 0.20 | 0.03 | 1.6x | 323 | 54% |
| MACD fast=15, slow=41, signal=19 |
1.0% | -71.0% | 0.16 | 0.01 | 1.3x | 307 | 51% |
| Buy and hold | 12.1% | -76.3% | 0.50 | 0.16 | 18.5x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 56 days