Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Panasonic Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Panasonic Holdings Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -38.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.5%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -44.0%, Sharpe 0.40, 32% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -70.8%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 4.8%, MDD -38.9%, 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=116, exitN=46 |
5.6% | -44.0% | 0.40 | 0.13 | 4.3x | 39 | 32% |
| ADX / DI 방향성 period=38, threshold=19 |
4.8% | -38.9% | 0.39 | 0.12 | 3.5x | 54 | 16% |
| ROC 모멘텀 n=157, threshold=0.15 |
5.6% | -40.3% | 0.39 | 0.14 | 4.3x | 133 | 29% |
| SMA 크로스오버 fast=41, slow=87 |
6.3% | -70.8% | 0.38 | 0.09 | 5.0x | 71 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=2.9 |
4.4% | -47.8% | 0.36 | 0.09 | 3.2x | 96 | 22% |
| 볼린저 밴드 돌파 n=57, k=3 |
3.5% | -42.1% | 0.33 | 0.08 | 2.5x | 36 | 16% |
| EMA 크로스오버 fast=43, slow=143 |
4.7% | -69.5% | 0.32 | 0.07 | 3.4x | 45 | 47% |
| Supertrend period=13, mult=3.6 |
0.7% | -74.5% | 0.14 | 0.01 | 1.2x | 166 | 51% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-3.1% | -88.3% | -0.02 | -0.04 | 0.4x | 620 | 51% |
| MACD fast=18, slow=43, signal=11 |
-3.8% | -87.7% | -0.05 | -0.04 | 0.4x | 368 | 53% |
| Buy and hold | 1.5% | -88.1% | 0.21 | 0.02 | 1.5x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 46 days