Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MS&AD Insurance Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of MS&AD Insurance Group Holdings, Inc.. 0 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 7.3%, MDD -39.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -74.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -39.0%, Sharpe 0.46, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -58.1%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 35.2%p (CAGR 7.3%, MDD -39.0%, exposure 41%).
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=132, exitN=73 |
7.3% | -39.0% | 0.46 | 0.19 | 3.7x | 19 | 41% |
| SMA 크로스오버 fast=64, slow=188 |
7.5% | -58.1% | 0.44 | 0.13 | 3.8x | 23 | 53% |
| ROC 모멘텀 n=124, threshold=0.1 |
6.4% | -38.4% | 0.43 | 0.17 | 3.2x | 131 | 32% |
| EMA 크로스오버 fast=56, slow=281 |
7.2% | -55.8% | 0.43 | 0.13 | 3.6x | 17 | 55% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
2.1% | -23.3% | 0.32 | 0.09 | 1.5x | 26 | 4% |
| ADX / DI 방향성 period=32, threshold=24 |
1.4% | -28.2% | 0.20 | 0.05 | 1.3x | 14 | 6% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=25, mult=3.6 |
1.6% | -46.8% | 0.19 | 0.03 | 1.3x | 51 | 20% |
| Supertrend period=13, mult=3.6 |
-1.8% | -74.2% | 0.04 | -0.02 | 0.7x | 121 | 55% |
| MACD fast=8, slow=39, signal=18 |
-4.7% | -74.0% | -0.11 | -0.06 | 0.4x | 281 | 51% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-5.9% | -81.0% | -0.16 | -0.07 | 0.3x | 447 | 53% |
| Buy and hold | 8.0% | -74.2% | 0.40 | 0.11 | 4.1x | 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 132 days
- Sell — Sell when price breaks below the lowest low of the last 73 days