Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Seimitsu Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of Tokyo Seimitsu Co., Ltd. 8 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 5.3%, MDD -26.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.9%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.3%, MDD -26.9%, Sharpe 0.49, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.2%, MDD -37.9%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 65.3%p (CAGR 5.3%, MDD -26.9%, exposure 10%).
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=27, k=3.1 |
5.3% | -26.9% | 0.49 | 0.20 | 3.7x | 40 | 10% |
| Donchian 채널 돌파 entryN=98, exitN=18 |
6.7% | -43.4% | 0.45 | 0.15 | 5.3x | 60 | 24% |
| ADX / DI 방향성 period=20, threshold=22 |
6.4% | -36.3% | 0.43 | 0.18 | 4.9x | 92 | 19% |
| ROC 모멘텀 n=116, threshold=0.14 |
7.2% | -37.9% | 0.42 | 0.19 | 5.9x | 154 | 35% |
| SMA 크로스오버 fast=14, slow=147 |
5.7% | -55.7% | 0.34 | 0.10 | 4.1x | 73 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=2.5 |
4.8% | -44.8% | 0.32 | 0.11 | 3.3x | 108 | 35% |
| EMA 크로스오버 fast=75, slow=224 |
5.0% | -64.6% | 0.32 | 0.08 | 3.5x | 27 | 53% |
| MACD fast=17, slow=51, signal=19 |
5.0% | -72.3% | 0.31 | 0.07 | 3.5x | 266 | 52% |
| Supertrend period=17, mult=3.7 |
3.4% | -74.6% | 0.26 | 0.05 | 2.4x | 148 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.8% | -86.5% | 0.12 | -0.01 | 0.8x | 424 | 52% |
| Buy and hold | 3.9% | -92.1% | 0.30 | 0.04 | 2.6x | 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 27-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 27-day middle average