Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Post Bank Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Post Bank Co., Ltd.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -15.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.9%, drawdown -56.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -10.8%, Sharpe 0.74, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -29.4%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 45.6%p (CAGR 5.3%, MDD -15.8%, exposure 12%).
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=14, k=2.9 |
4.3% | -10.8% | 0.74 | 0.40 | 1.6x | 10 | 4% |
| ADX / DI 방향성 period=10, threshold=36 |
5.3% | -15.8% | 0.63 | 0.34 | 1.7x | 44 | 12% |
| SMA 크로스오버 fast=37, slow=165 |
8.8% | -29.4% | 0.57 | 0.30 | 2.5x | 17 | 49% |
| EMA 크로스오버 fast=54, slow=364 |
7.2% | -36.6% | 0.46 | 0.20 | 2.1x | 9 | 53% |
| ROC 모멘텀 n=138, threshold=-0.01 |
7.1% | -39.3% | 0.46 | 0.18 | 2.1x | 63 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.2 |
5.2% | -23.9% | 0.46 | 0.22 | 1.7x | 28 | 24% |
| Donchian 채널 돌파 entryN=104, exitN=55 |
6.0% | -26.4% | 0.45 | 0.23 | 1.9x | 15 | 38% |
| Supertrend period=13, mult=4.3 |
3.6% | -43.0% | 0.29 | 0.08 | 1.5x | 45 | 48% |
| MACD fast=18, slow=52, signal=19 |
1.4% | -46.8% | 0.17 | 0.03 | 1.2x | 102 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-1.5% | -59.7% | 0.01 | -0.02 | 0.9x | 120 | 50% |
| Buy and hold | 5.9% | -56.3% | 0.36 | 0.10 | 1.9x | 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 14-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 14-day middle average