Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Mitsui Trust Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Mitsui Trust Group, Inc.. 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 8.3%, MDD -47.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.0%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -47.7%, Sharpe 0.46, 43% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.7%, MDD -62.6%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 8.3%, MDD -47.7%, exposure 43%).
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=111, exitN=72 |
8.3% | -47.7% | 0.46 | 0.17 | 7.7x | 27 | 43% |
| EMA 크로스오버 fast=14, slow=191 |
8.7% | -62.6% | 0.46 | 0.14 | 8.4x | 51 | 53% |
| ROC 모멘텀 n=173, threshold=0.02 |
8.5% | -62.5% | 0.45 | 0.14 | 8.1x | 163 | 52% |
| SMA 크로스오버 fast=22, slow=206 |
8.3% | -63.2% | 0.44 | 0.13 | 7.7x | 37 | 53% |
| 볼린저 밴드 돌파 n=75, k=2.7 |
3.6% | -64.5% | 0.29 | 0.06 | 2.5x | 44 | 19% |
| ADX / DI 방향성 period=15, threshold=27 |
3.3% | -62.5% | 0.29 | 0.05 | 2.3x | 117 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=4 |
1.5% | -59.8% | 0.17 | 0.03 | 1.5x | 63 | 20% |
| Supertrend period=10, mult=2.1 |
-0.6% | -83.9% | 0.11 | -0.01 | 0.9x | 355 | 53% |
| MACD fast=10, slow=27, signal=16 |
-3.4% | -90.1% | -0.01 | -0.04 | 0.4x | 410 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-6.6% | -85.8% | -0.08 | -0.08 | 0.2x | 431 | 52% |
| Buy and hold | 3.0% | -89.4% | 0.29 | 0.03 | 2.1x | 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 111 days
- Sell — Sell when price breaks below the lowest low of the last 72 days