Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Meiko Electronics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Meiko Electronics Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.2%, MDD -54.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.7%, drawdown -97.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.2%, MDD -54.2%, Sharpe 0.77, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 26.2%, MDD -54.2%, exposure 42%).
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=70, k=1.1 |
26.2% | -54.2% | 0.77 | 0.48 | 396.9x | 96 | 42% |
| Donchian 채널 돌파 entryN=15, exitN=71 |
24.4% | -76.2% | 0.67 | 0.32 | 272.4x | 62 | 78% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.9 |
19.7% | -62.0% | 0.65 | 0.32 | 101.2x | 88 | 36% |
| SMA 크로스오버 fast=39, slow=83 |
20.8% | -90.9% | 0.64 | 0.23 | 130.6x | 74 | 52% |
| EMA 크로스오버 fast=20, slow=195 |
20.5% | -92.0% | 0.63 | 0.22 | 121.0x | 40 | 50% |
| ROC 모멘텀 n=50, threshold=-0.03 |
20.8% | -76.0% | 0.63 | 0.27 | 128.0x | 338 | 57% |
| MACD fast=19, slow=152, signal=32 |
18.7% | -78.7% | 0.60 | 0.24 | 82.5x | 146 | 54% |
| Supertrend period=18, mult=3.6 |
16.6% | -80.4% | 0.57 | 0.21 | 51.7x | 166 | 52% |
| Parabolic SAR step=0.01, maxStep=0.3 |
13.4% | -82.7% | 0.50 | 0.16 | 25.1x | 318 | 51% |
| ADX / DI 방향성 period=34, threshold=15 |
12.9% | -81.0% | 0.50 | 0.16 | 22.6x | 128 | 34% |
| Buy and hold | 14.7% | -97.9% | 0.53 | 0.15 | 34.3x | 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 70-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 70-day middle average