Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Itochu Corporation backtest
10 trend-following strategies were compared on the full daily history of Itochu Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.3%, MDD -48.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.9%, drawdown -75.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.3%, MDD -48.5%, Sharpe 0.59, 90% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 13.3%, MDD -48.5%, exposure 90%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=92, threshold=-0.15 |
13.3% | -48.5% | 0.59 | 0.27 | 27.8x | 83 | 90% |
| Donchian 채널 돌파 entryN=80, exitN=28 |
8.6% | -31.2% | 0.57 | 0.28 | 8.9x | 66 | 37% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
5.7% | -26.0% | 0.54 | 0.22 | 4.4x | 34 | 14% |
| SMA 크로스오버 fast=37, slow=75 |
9.8% | -46.1% | 0.52 | 0.21 | 11.9x | 94 | 59% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=29, mult=3 |
7.4% | -35.0% | 0.50 | 0.21 | 6.7x | 80 | 38% |
| EMA 크로스오버 fast=19, slow=180 |
8.3% | -45.4% | 0.46 | 0.18 | 8.2x | 55 | 68% |
| Supertrend period=12, mult=3.4 |
5.5% | -44.9% | 0.36 | 0.12 | 4.2x | 179 | 58% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.7% | -69.0% | 0.23 | 0.04 | 2.0x | 221 | 52% |
| ADX / DI 방향성 period=14, threshold=32 |
1.5% | -30.1% | 0.21 | 0.05 | 1.5x | 90 | 11% |
| MACD fast=17, slow=67, signal=17 |
1.8% | -54.8% | 0.19 | 0.03 | 1.6x | 279 | 51% |
| Buy and hold | 11.9% | -75.6% | 0.50 | 0.16 | 19.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 92-day return is greater than -15%
- Sell — Sell when the 92-day return drops to -15% or below