Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seiko Epson Corp. backtest
10 trend-following strategies were compared on the full daily history of Seiko Epson Corp.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.9%, MDD -23.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.8%, drawdown -95.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.0%, MDD -35.1%, Sharpe 0.39, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 2.9%, MDD -23.6%, exposure 3%).
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=48, k=3.2 |
4.0% | -35.1% | 0.39 | 0.11 | 2.7x | 17 | 7% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=3.9 |
2.9% | -23.6% | 0.37 | 0.12 | 2.1x | 20 | 3% |
| ADX / DI 방향성 period=48, threshold=20 |
3.4% | -28.2% | 0.34 | 0.12 | 2.3x | 21 | 7% |
| Donchian 채널 돌파 entryN=109, exitN=56 |
3.6% | -71.6% | 0.27 | 0.05 | 2.5x | 37 | 32% |
| SMA 크로스오버 fast=15, slow=229 |
3.5% | -75.0% | 0.26 | 0.05 | 2.4x | 53 | 46% |
| EMA 크로스오버 fast=15, slow=184 |
3.4% | -78.3% | 0.26 | 0.04 | 2.4x | 67 | 43% |
| ROC 모멘텀 n=134, threshold=0.01 |
2.8% | -69.4% | 0.24 | 0.04 | 2.0x | 177 | 47% |
| Supertrend period=8, mult=5 |
-1.1% | -87.4% | 0.09 | -0.01 | 0.8x | 113 | 50% |
| MACD fast=17, slow=38, signal=11 |
-1.8% | -81.9% | 0.07 | -0.02 | 0.6x | 352 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-3.9% | -89.6% | -0.03 | -0.04 | 0.4x | 577 | 51% |
| Buy and hold | -0.8% | -95.1% | 0.17 | -0.01 | 0.8x | 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 48-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average