Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Canon Inc. backtest
10 trend-following strategies were compared on the full daily history of Canon Inc.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.0%, MDD -32.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.8%, drawdown -77.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.6%, MDD -2.8%, Sharpe 0.34, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.2%, MDD -37.0%, exposure 55%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 75.1%p (CAGR 4.0%, MDD -32.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=21, mult=4 |
0.6% | -2.8% | 0.34 | 0.20 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=42, slow=80 |
4.2% | -37.0% | 0.31 | 0.11 | 3.0x | 71 | 55% |
| EMA 크로스오버 fast=36, slow=76 |
4.0% | -32.9% | 0.30 | 0.12 | 2.8x | 57 | 55% |
| Donchian 채널 돌파 entryN=39, exitN=50 |
3.9% | -44.0% | 0.29 | 0.09 | 2.8x | 61 | 59% |
| ADX / DI 방향성 period=25, threshold=39 |
0.2% | -5.3% | 0.12 | 0.03 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=10, k=2.9 |
0.1% | -6.5% | 0.09 | 0.02 | 1.0x | 4 | 1% |
| MACD fast=41, slow=59, signal=54 |
-0.5% | -73.3% | 0.07 | -0.01 | 0.9x | 131 | 51% |
| Supertrend period=5, mult=5 |
-1.0% | -64.5% | 0.05 | -0.02 | 0.8x | 105 | 50% |
| ROC 모멘텀 n=83, threshold=-0.04 |
-1.3% | -66.7% | 0.04 | -0.02 | 0.7x | 235 | 64% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-11.8% | -97.2% | -0.51 | -0.12 | 0.0x | 433 | 53% |
| Buy and hold | 1.8% | -77.9% | 0.21 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average