Trend-Following Backtester · Guide · backtest 한국어
equity · JP
AEON Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of AEON Co., Ltd.. 3 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 7.5%, MDD -38.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.8%, drawdown -83.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -38.2%, Sharpe 0.49, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 7.5%, MDD -38.2%, exposure 41%).
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=56, exitN=29 |
7.5% | -38.2% | 0.49 | 0.20 | 6.9x | 72 | 41% |
| Supertrend period=16, mult=4.9 |
7.1% | -46.2% | 0.43 | 0.15 | 6.2x | 94 | 52% |
| SMA 크로스오버 fast=25, slow=210 |
6.5% | -51.9% | 0.40 | 0.13 | 5.4x | 34 | 57% |
| 볼린저 밴드 돌파 n=45, k=3 |
3.7% | -41.0% | 0.37 | 0.09 | 2.6x | 50 | 17% |
| EMA 크로스오버 fast=13, slow=53 |
5.0% | -44.5% | 0.34 | 0.11 | 3.7x | 132 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.5 |
2.8% | -49.4% | 0.25 | 0.06 | 2.1x | 88 | 31% |
| ROC 모멘텀 n=65, threshold=-0.02 |
2.9% | -55.5% | 0.24 | 0.05 | 2.1x | 306 | 59% |
| MACD fast=12, slow=49, signal=26 |
2.6% | -55.1% | 0.23 | 0.05 | 2.0x | 273 | 51% |
| ADX / DI 방향성 period=33, threshold=35 |
0.7% | -21.3% | 0.18 | 0.03 | 1.2x | 6 | 2% |
| Parabolic SAR step=0.02, maxStep=0.08 |
1.2% | -57.1% | 0.16 | 0.02 | 1.4x | 443 | 52% |
| Buy and hold | 5.8% | -83.0% | 0.34 | 0.07 | 4.4x | 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 56 days
- Sell — Sell when price breaks below the lowest low of the last 29 days