Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamaha Motor Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yamaha Motor Co., Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.1%, MDD -40.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.5%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -41.1%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 10.1%, MDD -40.7%, exposure 58%).
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=126, exitN=70 |
10.3% | -41.1% | 0.54 | 0.25 | 12.2x | 27 | 50% |
| SMA 크로스오버 fast=6, slow=193 |
10.1% | -40.7% | 0.52 | 0.25 | 11.8x | 59 | 58% |
| EMA 크로스오버 fast=26, slow=186 |
8.2% | -53.9% | 0.45 | 0.15 | 7.6x | 37 | 59% |
| ROC 모멘텀 n=112, threshold=-0.01 |
7.4% | -58.5% | 0.41 | 0.13 | 6.3x | 187 | 60% |
| ADX / DI 방향성 period=34, threshold=20 |
3.2% | -27.9% | 0.34 | 0.12 | 2.2x | 32 | 11% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=3.7 |
1.8% | -45.8% | 0.19 | 0.04 | 1.6x | 77 | 26% |
| 볼린저 밴드 돌파 n=49, k=2 |
1.8% | -48.8% | 0.19 | 0.04 | 1.6x | 115 | 35% |
| Supertrend period=24, mult=4.4 |
1.0% | -70.6% | 0.17 | 0.01 | 1.3x | 119 | 59% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.0% | -58.7% | 0.13 | 0.00 | 1.0x | 203 | 55% |
| MACD fast=18, slow=27, signal=22 |
-3.8% | -83.4% | -0.02 | -0.05 | 0.4x | 309 | 53% |
| Buy and hold | 6.5% | -83.5% | 0.36 | 0.08 | 5.0x | 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 126 days
- Sell — Sell when price breaks below the lowest low of the last 70 days