Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyota Motor Corp. backtest
10 trend-following strategies were compared on the full daily history of Toyota Motor Corp.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -47.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -71.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -51.1%, Sharpe 0.45, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -47.6%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 6.8%, MDD -47.6%, exposure 53%).
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=74, exitN=59 |
6.7% | -51.1% | 0.45 | 0.13 | 5.9x | 48 | 47% |
| SMA 크로스오버 fast=58, slow=129 |
6.8% | -47.6% | 0.44 | 0.14 | 6.0x | 50 | 53% |
| EMA 크로스오버 fast=50, slow=68 |
5.0% | -48.2% | 0.35 | 0.10 | 3.8x | 62 | 53% |
| ROC 모멘텀 n=89, threshold=0.02 |
3.1% | -46.0% | 0.26 | 0.07 | 2.3x | 266 | 49% |
| 볼린저 밴드 돌파 n=52, k=2 |
2.3% | -52.3% | 0.23 | 0.04 | 1.9x | 109 | 32% |
| ADX / DI 방향성 period=27, threshold=27 |
1.1% | -14.0% | 0.22 | 0.08 | 1.3x | 16 | 4% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=27, mult=3.5 |
1.6% | -43.5% | 0.19 | 0.04 | 1.5x | 88 | 21% |
| Supertrend period=24, mult=4.5 |
1.1% | -62.2% | 0.16 | 0.02 | 1.4x | 123 | 54% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.1% | -89.3% | -0.21 | -0.07 | 0.2x | 465 | 53% |
| MACD fast=16, slow=50, signal=15 |
-6.8% | -89.7% | -0.25 | -0.08 | 0.1x | 343 | 50% |
| Buy and hold | 5.5% | -71.5% | 0.33 | 0.08 | 4.3x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 59 days