Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shiga Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shiga Bank, Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -61.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -51.1%, Sharpe 0.36, 44% exposure.
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=116, exitN=72 |
5.3% | -51.1% | 0.36 | 0.10 | 3.7x | 33 | 44% |
| EMA 크로스오버 fast=55, slow=230 |
4.7% | -61.6% | 0.33 | 0.08 | 3.3x | 29 | 50% |
| SMA 크로스오버 fast=52, slow=207 |
4.8% | -65.0% | 0.33 | 0.07 | 3.3x | 33 | 49% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
2.0% | -33.9% | 0.21 | 0.06 | 1.7x | 57 | 21% |
| ROC 모멘텀 n=108, threshold=0.14 |
0.8% | -67.9% | 0.13 | 0.01 | 1.2x | 171 | 22% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=3.6 |
0.6% | -35.5% | 0.11 | 0.02 | 1.2x | 58 | 16% |
| ADX / DI 방향성 period=21, threshold=39 |
0.3% | -12.1% | 0.09 | 0.02 | 1.1x | 14 | 2% |
| Supertrend period=16, mult=5 |
-1.5% | -84.3% | 0.04 | -0.02 | 0.7x | 88 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.0% | -88.1% | -0.10 | -0.04 | 0.4x | 208 | 53% |
| MACD fast=16, slow=58, signal=23 |
-5.8% | -90.8% | -0.21 | -0.06 | 0.2x | 278 | 51% |
| Buy and hold | 6.5% | -61.9% | 0.36 | 0.11 | 5.0x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 72 days