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 11.6%, MDD -40.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.0%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -41.1%, Sharpe 0.59, 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 11.6%, MDD -40.7%, exposure 59%).
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 |
11.8% | -41.1% | 0.59 | 0.29 | 17.3x | 27 | 50% |
| SMA 크로스오버 fast=6, slow=193 |
11.6% | -40.7% | 0.57 | 0.29 | 16.8x | 59 | 59% |
| EMA 크로스오버 fast=26, slow=186 |
9.7% | -53.9% | 0.50 | 0.18 | 10.7x | 37 | 59% |
| ROC 모멘텀 n=112, threshold=-0.01 |
8.9% | -58.5% | 0.46 | 0.15 | 8.9x | 187 | 60% |
| ADX / DI 방향성 period=34, threshold=20 |
3.3% | -27.9% | 0.34 | 0.12 | 2.3x | 33 | 11% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=3.7 |
3.2% | -46.2% | 0.27 | 0.07 | 2.3x | 77 | 26% |
| 볼린저 밴드 돌파 n=49, k=2 |
3.2% | -48.8% | 0.26 | 0.07 | 2.2x | 115 | 35% |
| Supertrend period=24, mult=4.4 |
2.4% | -70.6% | 0.22 | 0.03 | 1.8x | 119 | 59% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.4% | -58.7% | 0.18 | 0.02 | 1.4x | 203 | 55% |
| MACD fast=18, slow=27, signal=22 |
-2.5% | -83.4% | 0.04 | -0.03 | 0.5x | 309 | 53% |
| Buy and hold | 8.0% | -83.5% | 0.39 | 0.10 | 7.1x | 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 126 days
- Sell — Sell when price breaks below the lowest low of the last 70 days