Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tomy Company, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tomy Company, Ltd.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.6%, MDD -37.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -77.0%).
Sharpe leader (same as main): Supertrend — CAGR 6.3%, MDD -63.0%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 3.6%, MDD -37.8%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.4 |
6.3% | -63.0% | 0.38 | 0.10 | 4.8x | 105 | 52% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
5.7% | -58.9% | 0.36 | 0.10 | 4.1x | 41 | 47% |
| ADX / DI 방향성 period=51, threshold=18 |
3.6% | -37.8% | 0.35 | 0.09 | 2.5x | 27 | 14% |
| SMA 크로스오버 fast=23, slow=92 |
5.0% | -70.0% | 0.32 | 0.07 | 3.5x | 73 | 51% |
| EMA 크로스오버 fast=32, slow=61 |
3.9% | -67.2% | 0.28 | 0.06 | 2.7x | 87 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.3% | -63.9% | 0.17 | 0.02 | 1.4x | 195 | 54% |
| ROC 모멘텀 n=66, threshold=0.04 |
1.1% | -73.1% | 0.16 | 0.02 | 1.3x | 259 | 44% |
| 볼린저 밴드 돌파 n=19, k=2.5 |
1.1% | -47.2% | 0.15 | 0.02 | 1.3x | 152 | 21% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=2.2 |
0.7% | -75.0% | 0.13 | 0.01 | 1.2x | 141 | 33% |
| MACD fast=16, slow=27, signal=18 |
-2.2% | -75.3% | 0.02 | -0.03 | 0.6x | 324 | 52% |
| Buy and hold | 4.0% | -77.0% | 0.29 | 0.05 | 2.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)