Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiwa Securities Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Daiwa Securities Group Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -39.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -40.5%, Sharpe 0.42, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 6.1%, MDD -39.3%, exposure 32%).
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=55, exitN=41 |
7.1% | -40.5% | 0.42 | 0.18 | 6.2x | 57 | 41% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=33, mult=3.2 |
6.2% | -43.0% | 0.42 | 0.14 | 5.0x | 71 | 28% |
| 볼린저 밴드 돌파 n=64, k=1.8 |
6.1% | -39.3% | 0.41 | 0.16 | 4.9x | 87 | 32% |
| SMA 크로스오버 fast=19, slow=137 |
5.5% | -58.9% | 0.35 | 0.09 | 4.1x | 63 | 45% |
| ADX / DI 방향성 period=36, threshold=21 |
3.5% | -49.3% | 0.34 | 0.07 | 2.5x | 34 | 11% |
| Supertrend period=16, mult=4.9 |
5.1% | -59.6% | 0.33 | 0.09 | 3.8x | 91 | 46% |
| EMA 크로스오버 fast=36, slow=76 |
4.0% | -63.8% | 0.28 | 0.06 | 2.8x | 71 | 45% |
| ROC 모멘텀 n=145, threshold=0.14 |
0.3% | -63.0% | 0.11 | 0.00 | 1.1x | 193 | 26% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.7% | -80.9% | -0.04 | -0.05 | 0.4x | 211 | 49% |
| MACD fast=18, slow=58, signal=18 |
-7.7% | -93.4% | -0.21 | -0.08 | 0.1x | 292 | 52% |
| Buy and hold | 0.2% | -88.9% | 0.20 | 0.00 | 1.1x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 41 days