Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SBI Shinsei Bank, Limited backtest
10 trend-following strategies were compared on the full daily history of SBI Shinsei Bank, Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -7.4%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -3.2%, MDD -100.0%, Sharpe 0.22, 69% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.1%, MDD -100.0%, exposure 4%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28, exitN=96 |
-3.2% | -100.0% | 0.22 | -0.03 | 0.5x | 44 | 69% |
| ADX / DI 방향성 period=37, threshold=31 |
0.1% | -100.0% | 0.22 | 0.00 | 1.0x | 4 | 4% |
| Supertrend period=11, mult=4 |
-3.5% | -100.0% | 0.22 | -0.03 | 0.4x | 104 | 51% |
| EMA 크로스오버 fast=32, slow=286 |
-2.6% | -100.0% | 0.22 | -0.03 | 0.6x | 30 | 41% |
| Keltner 채널 돌파 emaPeriod=122, atrPeriod=29, mult=3.6 |
-2.3% | -100.0% | 0.22 | -0.02 | 0.6x | 44 | 29% |
| SMA 크로스오버 fast=20, slow=216 |
-4.0% | -100.0% | 0.22 | -0.04 | 0.4x | 44 | 42% |
| ROC 모멘텀 n=98, threshold=0.11 |
-5.4% | -100.0% | 0.22 | -0.05 | 0.3x | 152 | 29% |
| MACD fast=6, slow=26, signal=14 |
-12.1% | -100.0% | 0.22 | -0.12 | 0.1x | 407 | 50% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-54.6% | -100.0% | -0.10 | -0.55 | 0.0x | 374 | 49% |
| 볼린저 밴드 돌파 n=46, k=1.7 |
-54.1% | -100.0% | -0.13 | -0.54 | 0.0x | 108 | 33% |
| Buy and hold | -7.4% | -100.0% | 0.22 | -0.07 | 0.2x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 96 days