Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hyakugo Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hyakugo Bank, Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -52.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -72.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -28.3%, Sharpe 0.41, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.2%, MDD -52.0%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 43.8%p (CAGR 6.2%, MDD -52.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=64, k=2.8 |
5.0% | -28.3% | 0.41 | 0.18 | 3.5x | 45 | 21% |
| SMA 크로스오버 fast=53, slow=109 |
6.2% | -52.0% | 0.39 | 0.12 | 4.7x | 57 | 50% |
| EMA 크로스오버 fast=40, slow=191 |
5.7% | -56.5% | 0.37 | 0.10 | 4.2x | 39 | 52% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=24, mult=3.9 |
4.1% | -30.5% | 0.34 | 0.13 | 2.8x | 47 | 24% |
| Donchian 채널 돌파 entryN=60, exitN=50 |
4.7% | -45.7% | 0.34 | 0.10 | 3.3x | 53 | 45% |
| ADX / DI 방향성 period=39, threshold=24 |
2.4% | -26.0% | 0.33 | 0.09 | 1.9x | 10 | 5% |
| ROC 모멘텀 n=136, threshold=0.12 |
2.0% | -65.1% | 0.21 | 0.03 | 1.7x | 147 | 28% |
| Supertrend period=15, mult=4.5 |
0.6% | -78.0% | 0.14 | 0.01 | 1.2x | 91 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-7.8% | -96.1% | -0.29 | -0.08 | 0.1x | 223 | 54% |
| MACD fast=19, slow=35, signal=9 |
-11.3% | -98.0% | -0.51 | -0.11 | 0.0x | 431 | 52% |
| Buy and hold | 6.9% | -72.1% | 0.37 | 0.10 | 5.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 64-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 64-day middle average