Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daihen Corporation backtest
10 trend-following strategies were compared on the full daily history of Daihen Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -80.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -64.7%, Sharpe 0.47, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 15.9%p (CAGR 8.6%, MDD -58.8%, exposure 56%).
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=134, exitN=71 |
9.2% | -64.7% | 0.47 | 0.14 | 9.7x | 28 | 44% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=2.2 |
8.2% | -37.3% | 0.44 | 0.22 | 7.5x | 138 | 37% |
| SMA 크로스오버 fast=35, slow=280 |
8.6% | -58.8% | 0.43 | 0.15 | 8.3x | 33 | 56% |
| EMA 크로스오버 fast=21, slow=289 |
8.4% | -60.3% | 0.42 | 0.14 | 7.9x | 35 | 58% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
7.0% | -43.5% | 0.40 | 0.16 | 5.7x | 124 | 36% |
| ADX / DI 방향성 period=34, threshold=39 |
1.3% | -8.3% | 0.36 | 0.16 | 1.4x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.3% | -53.1% | 0.35 | 0.12 | 4.8x | 307 | 54% |
| Supertrend period=15, mult=2.2 |
5.8% | -66.6% | 0.34 | 0.09 | 4.3x | 313 | 56% |
| ROC 모멘텀 n=176, threshold=0.03 |
5.7% | -58.7% | 0.34 | 0.10 | 4.1x | 167 | 53% |
| MACD fast=18, slow=39, signal=14 |
1.3% | -80.2% | 0.19 | 0.02 | 1.4x | 340 | 50% |
| Buy and hold | 11.1% | -80.5% | 0.46 | 0.14 | 15.1x | 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 134 days
- Sell — Sell when price breaks below the lowest low of the last 71 days