Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Pigeon Corporation backtest
10 trend-following strategies were compared on the full daily history of Pigeon Corporation. 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 10.7%, MDD -54.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -79.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -54.7%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 24.9%p (CAGR 10.7%, MDD -54.7%, exposure 64%).
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=66, exitN=98 |
10.7% | -54.7% | 0.53 | 0.20 | 13.7x | 31 | 64% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
6.0% | -32.2% | 0.51 | 0.19 | 4.4x | 82 | 13% |
| SMA 크로스오버 fast=28, slow=147 |
9.0% | -58.5% | 0.48 | 0.15 | 9.2x | 55 | 55% |
| EMA 크로스오버 fast=59, slow=75 |
8.9% | -60.8% | 0.47 | 0.15 | 8.9x | 43 | 57% |
| ADX / DI 방향성 period=33, threshold=38 |
1.8% | -10.3% | 0.44 | 0.18 | 1.6x | 2 | 1% |
| Supertrend period=8, mult=4.7 |
6.7% | -57.5% | 0.40 | 0.12 | 5.4x | 96 | 56% |
| ROC 모멘텀 n=145, threshold=-0.01 |
5.7% | -60.2% | 0.35 | 0.09 | 4.1x | 231 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=4 |
2.8% | -30.5% | 0.32 | 0.09 | 2.0x | 34 | 6% |
| MACD fast=29, slow=43, signal=29 |
4.0% | -70.4% | 0.29 | 0.06 | 2.7x | 198 | 50% |
| Parabolic SAR step=0.015, maxStep=0.06 |
1.1% | -69.7% | 0.16 | 0.02 | 1.3x | 339 | 55% |
| Buy and hold | 11.4% | -79.6% | 0.50 | 0.14 | 16.2x | 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 66 days
- Sell — Sell when price breaks below the lowest low of the last 98 days