Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yaskawa Electric Corporation backtest
10 trend-following strategies were compared on the full daily history of Yaskawa Electric Corporation. 5 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 6.6%, MDD -25.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.6%, drawdown -80.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -25.5%, Sharpe 0.64, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.2%, MDD -44.3%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 54.8%p (CAGR 6.6%, MDD -25.5%, exposure 6%).
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=36, k=3.4 |
6.6% | -25.5% | 0.64 | 0.26 | 5.1x | 10 | 6% |
| Donchian 채널 돌파 entryN=116, exitN=74 |
12.2% | -44.3% | 0.56 | 0.27 | 18.9x | 32 | 49% |
| SMA 크로스오버 fast=38, slow=160 |
11.7% | -45.6% | 0.53 | 0.26 | 17.1x | 47 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=3.9 |
8.9% | -44.1% | 0.51 | 0.20 | 8.8x | 70 | 27% |
| ROC 모멘텀 n=119, threshold=0.12 |
10.2% | -51.9% | 0.51 | 0.20 | 11.9x | 208 | 40% |
| EMA 크로스오버 fast=6, slow=155 |
9.4% | -62.7% | 0.46 | 0.15 | 9.9x | 96 | 55% |
| ADX / DI 방향성 period=27, threshold=34 |
3.5% | -26.9% | 0.46 | 0.13 | 2.4x | 12 | 3% |
| Supertrend period=20, mult=5 |
6.3% | -78.8% | 0.35 | 0.08 | 4.7x | 98 | 53% |
| MACD fast=18, slow=43, signal=19 |
5.3% | -78.5% | 0.32 | 0.07 | 3.7x | 276 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.1% | -79.8% | 0.15 | 0.00 | 1.0x | 340 | 51% |
| Buy and hold | 7.6% | -80.3% | 0.39 | 0.09 | 6.5x | 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 36-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 36-day middle average