Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Marubeni Corporation backtest
10 trend-following strategies were compared on the full daily history of Marubeni Corporation. 6 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 13.2%, MDD -34.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.8%, drawdown -86.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -34.4%, Sharpe 0.74, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.6%, MDD -55.2%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 13.2%, MDD -34.4%, exposure 37%).
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=95, exitN=27 |
13.2% | -34.4% | 0.74 | 0.38 | 26.9x | 52 | 37% |
| SMA 크로스오버 fast=52, slow=126 |
14.6% | -55.2% | 0.66 | 0.26 | 37.0x | 52 | 58% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
10.3% | -40.8% | 0.62 | 0.25 | 13.6x | 72 | 34% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=2.7 |
10.5% | -42.2% | 0.60 | 0.25 | 14.1x | 104 | 39% |
| EMA 크로스오버 fast=41, slow=77 |
11.6% | -47.2% | 0.56 | 0.25 | 18.5x | 60 | 59% |
| ROC 모멘텀 n=88, threshold=0.09 |
10.4% | -56.8% | 0.56 | 0.18 | 13.9x | 218 | 42% |
| Supertrend period=11, mult=4.3 |
7.8% | -61.7% | 0.44 | 0.13 | 7.4x | 129 | 54% |
| MACD fast=23, slow=64, signal=16 |
5.9% | -62.7% | 0.36 | 0.09 | 4.6x | 245 | 53% |
| ADX / DI 방향성 period=26, threshold=22 |
3.1% | -33.8% | 0.29 | 0.09 | 2.2x | 86 | 18% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.9% | -70.7% | 0.20 | 0.03 | 1.6x | 225 | 53% |
| Buy and hold | 9.8% | -86.9% | 0.44 | 0.11 | 12.1x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 27 days