Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Aozora Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Aozora Bank, Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -11.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.0%, drawdown -86.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -42.6%, Sharpe 0.34, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 0.8%, MDD -11.5%, exposure 2%).
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=90, exitN=79 |
4.9% | -42.6% | 0.34 | 0.12 | 2.6x | 23 | 51% |
| SMA 크로스오버 fast=57, slow=135 |
3.7% | -44.1% | 0.28 | 0.08 | 2.0x | 31 | 51% |
| EMA 크로스오버 fast=49, slow=81 |
2.2% | -59.0% | 0.21 | 0.04 | 1.5x | 41 | 52% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=3.8 |
0.8% | -11.5% | 0.19 | 0.07 | 1.2x | 8 | 2% |
| ROC 모멘텀 n=100, threshold=-0.07 |
1.5% | -49.7% | 0.18 | 0.03 | 1.3x | 143 | 68% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
-0.7% | -41.5% | -0.00 | -0.02 | 0.9x | 22 | 9% |
| Supertrend period=5, mult=5 |
-2.9% | -61.4% | -0.02 | -0.05 | 0.6x | 77 | 52% |
| ADX / DI 방향성 period=26, threshold=22 |
-1.3% | -32.7% | -0.05 | -0.04 | 0.8x | 53 | 13% |
| MACD fast=29, slow=44, signal=21 |
-5.7% | -82.4% | -0.11 | -0.07 | 0.3x | 179 | 54% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-8.4% | -85.9% | -0.25 | -0.10 | 0.2x | 481 | 51% |
| Buy and hold | -2.0% | -86.9% | 0.12 | -0.02 | 0.7x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 79 days