Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Anritsu Corporation backtest
10 trend-following strategies were compared on the full daily history of Anritsu 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 2.7%, MDD -26.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.9%, drawdown -94.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -55.4%, Sharpe 0.52, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 2.7%, MDD -26.8%, exposure 10%).
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=95, exitN=122 |
11.3% | -55.4% | 0.52 | 0.20 | 15.5x | 19 | 52% |
| EMA 크로스오버 fast=63, slow=215 |
9.5% | -64.7% | 0.47 | 0.15 | 10.3x | 21 | 50% |
| ROC 모멘텀 n=133, threshold=0.03 |
9.4% | -50.7% | 0.47 | 0.18 | 9.9x | 145 | 45% |
| SMA 크로스오버 fast=47, slow=215 |
9.1% | -61.5% | 0.46 | 0.15 | 9.3x | 29 | 49% |
| ADX / DI 방향성 period=27, threshold=25 |
2.7% | -26.8% | 0.26 | 0.10 | 2.0x | 38 | 10% |
| 볼린저 밴드 돌파 n=33, k=3 |
1.9% | -41.0% | 0.21 | 0.05 | 1.6x | 44 | 10% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=26, mult=2.8 |
2.0% | -61.8% | 0.20 | 0.03 | 1.7x | 102 | 18% |
| Supertrend period=9, mult=4.8 |
-2.7% | -86.9% | 0.04 | -0.03 | 0.5x | 112 | 50% |
| MACD fast=17, slow=45, signal=10 |
-3.0% | -92.3% | 0.02 | -0.03 | 0.5x | 350 | 52% |
| Parabolic SAR step=0.04, maxStep=0.1 |
-5.8% | -93.9% | -0.09 | -0.06 | 0.2x | 586 | 51% |
| Buy and hold | 0.9% | -94.5% | 0.22 | 0.01 | 1.3x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 122 days