Trend-Following Backtester · Guide · backtest 한국어
equity · JP
GS Yuasa Corporation backtest
10 trend-following strategies were compared on the full daily history of GS Yuasa Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -33.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -80.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -33.8%, Sharpe 0.47, 16% exposure.
CAGR reference leader: Supertrend — CAGR 9.2%, MDD -69.5%, exposure 47%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 46.2%p (CAGR 6.6%, MDD -33.8%, exposure 16%).
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=76, exitN=9 |
6.6% | -33.8% | 0.47 | 0.20 | 5.5x | 84 | 16% |
| Supertrend period=17, mult=4.6 |
9.2% | -69.5% | 0.46 | 0.13 | 10.6x | 112 | 47% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=2.9 |
4.8% | -37.3% | 0.40 | 0.13 | 3.5x | 56 | 7% |
| Parabolic SAR step=0.02, maxStep=0.12 |
5.2% | -69.7% | 0.32 | 0.07 | 3.8x | 472 | 52% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
4.4% | -68.6% | 0.30 | 0.06 | 3.2x | 166 | 30% |
| ROC 모멘텀 n=41, threshold=0.28 |
2.6% | -47.6% | 0.25 | 0.05 | 2.0x | 106 | 7% |
| ADX / DI 방향성 period=14, threshold=32 |
2.8% | -60.8% | 0.25 | 0.05 | 2.1x | 104 | 12% |
| EMA 크로스오버 fast=36, slow=219 |
2.6% | -66.6% | 0.23 | 0.04 | 2.0x | 35 | 42% |
| SMA 크로스오버 fast=13, slow=91 |
2.4% | -71.4% | 0.22 | 0.03 | 1.9x | 112 | 48% |
| MACD fast=9, slow=42, signal=9 |
2.1% | -65.4% | 0.21 | 0.03 | 1.7x | 495 | 51% |
| Buy and hold | 6.8% | -80.0% | 0.37 | 0.09 | 5.8x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 9 days