Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JTEKT Corporation backtest
10 trend-following strategies were compared on the full daily history of JTEKT Corporation. 3 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 4.4%, MDD -27.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.5%, drawdown -80.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -27.7%, Sharpe 0.40, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.7%, MDD -61.3%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 4.4%, MDD -27.7%, exposure 13%).
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=18, k=2.6 |
4.4% | -27.7% | 0.40 | 0.16 | 3.1x | 90 | 13% |
| SMA 크로스오버 fast=55, slow=177 |
5.7% | -61.3% | 0.35 | 0.09 | 4.4x | 39 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=13, mult=2.4 |
3.8% | -61.1% | 0.29 | 0.06 | 2.7x | 124 | 31% |
| Donchian 채널 돌파 entryN=109, exitN=71 |
2.5% | -65.3% | 0.23 | 0.04 | 1.9x | 43 | 43% |
| ROC 모멘텀 n=113, threshold=0.02 |
2.1% | -68.2% | 0.21 | 0.03 | 1.7x | 222 | 50% |
| Supertrend period=27, mult=4.7 |
2.0% | -73.9% | 0.21 | 0.03 | 1.7x | 109 | 51% |
| ADX / DI 방향성 period=28, threshold=39 |
0.5% | -12.1% | 0.18 | 0.04 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.1% | -64.8% | 0.18 | 0.02 | 1.3x | 429 | 52% |
| MACD fast=13, slow=32, signal=17 |
1.0% | -71.5% | 0.17 | 0.01 | 1.3x | 356 | 52% |
| EMA 크로스오버 fast=33, slow=149 |
1.1% | -83.2% | 0.17 | 0.01 | 1.3x | 55 | 52% |
| Buy and hold | 3.5% | -80.6% | 0.29 | 0.04 | 2.5x | 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 18-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 18-day middle average