Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Isuzu Motors Limited backtest
10 trend-following strategies were compared on the full daily history of Isuzu Motors Limited. 3 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 6.4%, MDD -30.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.6%, drawdown -89.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.4%, MDD -30.8%, Sharpe 0.52, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.3%, MDD -44.9%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 58.8%p (CAGR 6.4%, MDD -30.8%, exposure 7%).
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=51, k=3.5 |
6.4% | -30.8% | 0.52 | 0.21 | 5.2x | 14 | 7% |
| SMA 크로스오버 fast=55, slow=212 |
9.3% | -44.9% | 0.46 | 0.21 | 10.5x | 42 | 57% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
5.5% | -46.8% | 0.40 | 0.12 | 4.2x | 94 | 19% |
| EMA 크로스오버 fast=26, slow=236 |
7.1% | -55.9% | 0.39 | 0.13 | 6.2x | 53 | 59% |
| Supertrend period=37, mult=5 |
7.1% | -63.0% | 0.38 | 0.11 | 6.2x | 100 | 54% |
| ADX / DI 방향성 period=22, threshold=28 |
4.0% | -31.3% | 0.36 | 0.13 | 2.8x | 44 | 9% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.5 |
3.8% | -41.7% | 0.35 | 0.09 | 2.7x | 46 | 8% |
| ROC 모멘텀 n=51, threshold=0.15 |
4.8% | -62.4% | 0.33 | 0.08 | 3.5x | 268 | 21% |
| Parabolic SAR step=0.015, maxStep=0.16 |
5.0% | -72.4% | 0.31 | 0.07 | 3.7x | 433 | 53% |
| MACD fast=11, slow=73, signal=19 |
1.3% | -81.4% | 0.19 | 0.02 | 1.4x | 315 | 52% |
| Buy and hold | 6.6% | -89.6% | 0.36 | 0.07 | 5.4x | 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 51-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 51-day middle average