Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOPPAN Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of TOPPAN Holdings Inc.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -36.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.1%, drawdown -75.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.5%, MDD -36.0%, Sharpe 0.33, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 3.5%, MDD -36.0%, exposure 20%).
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=46, atrPeriod=29, mult=3.7 |
3.5% | -36.0% | 0.33 | 0.10 | 2.5x | 54 | 20% |
| ADX / DI 방향성 period=19, threshold=28 |
2.1% | -17.3% | 0.30 | 0.12 | 1.7x | 44 | 9% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
1.2% | -43.1% | 0.16 | 0.03 | 1.4x | 98 | 26% |
| Donchian 채널 돌파 entryN=95, exitN=56 |
1.1% | -54.3% | 0.15 | 0.02 | 1.3x | 48 | 39% |
| SMA 크로스오버 fast=46, slow=71 |
0.9% | -56.6% | 0.15 | 0.02 | 1.3x | 112 | 50% |
| EMA 크로스오버 fast=64, slow=273 |
0.2% | -54.4% | 0.12 | 0.00 | 1.0x | 29 | 50% |
| Supertrend period=16, mult=4.5 |
-1.9% | -64.8% | 0.02 | -0.03 | 0.6x | 116 | 50% |
| ROC 모멘텀 n=138, threshold=0.14 |
-1.2% | -53.0% | 0.01 | -0.02 | 0.7x | 146 | 28% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-4.8% | -86.0% | -0.12 | -0.06 | 0.3x | 344 | 52% |
| MACD fast=12, slow=32, signal=16 |
-6.0% | -88.3% | -0.18 | -0.07 | 0.2x | 386 | 51% |
| Buy and hold | 3.1% | -75.0% | 0.25 | 0.04 | 2.2x | 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 46-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average