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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -79.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.4%, MDD -30.2%, Sharpe 0.53, 9% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.9%, MDD -64.3%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 49.4%p (CAGR 8.8%, MDD -58.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3.1 |
5.4% | -30.2% | 0.53 | 0.18 | 3.9x | 46 | 9% |
| SMA 크로스오버 fast=30, slow=156 |
8.8% | -58.8% | 0.48 | 0.15 | 8.7x | 51 | 55% |
| EMA 크로스오버 fast=43, slow=59 |
8.9% | -64.3% | 0.47 | 0.14 | 8.9x | 63 | 56% |
| ADX / DI 방향성 period=33, threshold=38 |
1.8% | -10.3% | 0.44 | 0.18 | 1.6x | 2 | 1% |
| Donchian 채널 돌파 entryN=23, exitN=36 |
7.3% | -66.4% | 0.40 | 0.11 | 6.0x | 101 | 65% |
| MACD fast=33, slow=40, signal=28 |
4.1% | -70.0% | 0.29 | 0.06 | 2.8x | 198 | 50% |
| ROC 모멘텀 n=117, threshold=0.12 |
3.6% | -54.6% | 0.28 | 0.07 | 2.5x | 195 | 35% |
| Supertrend period=19, mult=5 |
3.7% | -64.6% | 0.27 | 0.06 | 2.5x | 93 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.8 |
3.2% | -48.8% | 0.27 | 0.07 | 2.2x | 67 | 24% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-1.2% | -73.0% | 0.06 | -0.02 | 0.7x | 431 | 53% |
| Buy and hold | 11.5% | -79.6% | 0.50 | 0.14 | 16.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 18-day middle average