Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokai Tokyo Financial Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tokai Tokyo Financial Holdings, Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -35.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.3%, drawdown -84.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.2%, MDD -42.5%, Sharpe 0.76, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 10.8%, MDD -35.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=23, mult=2.5 |
13.2% | -42.5% | 0.76 | 0.31 | 24.3x | 101 | 24% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
11.7% | -38.2% | 0.74 | 0.31 | 16.9x | 81 | 18% |
| Donchian 채널 돌파 entryN=62, exitN=8 |
10.8% | -35.3% | 0.69 | 0.31 | 14.0x | 101 | 20% |
| SMA 크로스오버 fast=51, slow=77 |
12.4% | -49.2% | 0.58 | 0.25 | 19.9x | 91 | 49% |
| ADX / DI 방향성 period=11, threshold=27 |
9.4% | -49.7% | 0.58 | 0.19 | 10.0x | 213 | 23% |
| EMA 크로스오버 fast=63, slow=140 |
10.3% | -64.9% | 0.51 | 0.16 | 12.4x | 29 | 51% |
| Supertrend period=12, mult=4.2 |
8.0% | -60.1% | 0.44 | 0.13 | 7.3x | 121 | 48% |
| ROC 모멘텀 n=140, threshold=0.1 |
7.7% | -50.0% | 0.44 | 0.15 | 6.7x | 153 | 39% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.7% | -71.1% | 0.31 | 0.07 | 3.2x | 199 | 51% |
| MACD fast=24, slow=58, signal=18 |
4.7% | -71.2% | 0.31 | 0.07 | 3.2x | 221 | 52% |
| Buy and hold | 5.3% | -84.5% | 0.33 | 0.06 | 3.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 24-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 24-day average