Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Motors Corporation backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Motors Corporation. 10 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 0.8%, MDD -30.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.8%, drawdown -96.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -46.0%, Sharpe 0.22, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 0.8%, MDD -30.6%, exposure 1%).
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=75, exitN=3 |
2.3% | -46.0% | 0.22 | 0.05 | 1.9x | 118 | 8% |
| ADX / DI 방향성 period=33, threshold=35 |
0.8% | -30.6% | 0.17 | 0.03 | 1.3x | 2 | 1% |
| Supertrend period=18, mult=4.1 |
-0.3% | -76.9% | 0.13 | -0.00 | 0.9x | 127 | 39% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=27, mult=2.2 |
-0.5% | -57.9% | 0.08 | -0.01 | 0.9x | 152 | 18% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -85.7% | 0.07 | -0.03 | 0.5x | 383 | 47% |
| 볼린저 밴드 돌파 n=29, k=2 |
-1.5% | -65.9% | 0.06 | -0.02 | 0.7x | 162 | 26% |
| SMA 크로스오버 fast=37, slow=73 |
-3.4% | -75.9% | 0.03 | -0.04 | 0.4x | 115 | 42% |
| ROC 모멘텀 n=50, threshold=0.14 |
-1.9% | -64.1% | 0.02 | -0.03 | 0.6x | 197 | 17% |
| MACD fast=19, slow=58, signal=11 |
-3.9% | -88.5% | 0.02 | -0.04 | 0.3x | 303 | 51% |
| EMA 크로스오버 fast=19, slow=46 |
-3.5% | -82.2% | 0.02 | -0.04 | 0.4x | 133 | 41% |
| Buy and hold | -7.8% | -96.2% | 0.02 | -0.08 | 0.1x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 3 days