Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Olympus Corp. backtest
10 trend-following strategies were compared on the full daily history of Olympus Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.5%, MDD -66.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -91.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -66.1%, Sharpe 0.33, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 5.5%, MDD -66.1%, exposure 85%).
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=11, exitN=67 |
5.5% | -66.1% | 0.33 | 0.08 | 4.1x | 85 | 85% |
| ADX / DI 방향성 period=33, threshold=24 |
2.6% | -25.2% | 0.30 | 0.10 | 2.0x | 20 | 6% |
| SMA 크로스오버 fast=21, slow=79 |
4.0% | -54.0% | 0.28 | 0.07 | 2.9x | 103 | 58% |
| 볼린저 밴드 돌파 n=66, k=3 |
2.3% | -34.0% | 0.25 | 0.07 | 1.9x | 27 | 13% |
| EMA 크로스오버 fast=39, slow=147 |
2.0% | -58.8% | 0.21 | 0.03 | 1.7x | 49 | 59% |
| ROC 모멘텀 n=133, threshold=-0.04 |
-0.5% | -66.2% | 0.12 | -0.01 | 0.9x | 225 | 68% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.8% | -76.5% | 0.10 | -0.01 | 0.8x | 209 | 56% |
| MACD fast=19, slow=50, signal=11 |
-0.9% | -82.8% | 0.10 | -0.01 | 0.8x | 341 | 51% |
| Supertrend period=13, mult=5 |
-1.5% | -77.4% | 0.08 | -0.02 | 0.7x | 109 | 56% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.6 |
-0.6% | -55.0% | 0.05 | -0.01 | 0.8x | 79 | 22% |
| Buy and hold | 6.4% | -91.0% | 0.36 | 0.07 | 5.2x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 67 days