Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiichi Life Group. Inc. backtest
10 trend-following strategies were compared on the full daily history of Daiichi Life Group. Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 9.3%, MDD -36.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -60.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -55.4%, Sharpe 0.52, 71% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 5.0%p (CAGR 9.3%, MDD -36.0%, exposure 54%).
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=6, exitN=17 |
10.7% | -55.4% | 0.52 | 0.19 | 5.3x | 141 | 71% |
| Parabolic SAR step=0.05, maxStep=0.06 |
9.3% | -36.0% | 0.50 | 0.26 | 4.3x | 252 | 54% |
| Supertrend period=14, mult=4.9 |
8.0% | -41.8% | 0.44 | 0.19 | 3.5x | 55 | 56% |
| SMA 크로스오버 fast=30, slow=123 |
7.9% | -41.0% | 0.42 | 0.19 | 3.5x | 39 | 58% |
| MACD fast=18, slow=48, signal=15 |
7.3% | -36.6% | 0.42 | 0.20 | 3.2x | 184 | 52% |
| EMA 크로스오버 fast=36, slow=195 |
5.8% | -53.2% | 0.35 | 0.11 | 2.5x | 31 | 65% |
| ROC 모멘텀 n=17, threshold=-0.04 |
5.8% | -45.1% | 0.35 | 0.13 | 2.5x | 317 | 72% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
2.0% | -16.2% | 0.31 | 0.12 | 1.4x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=29, mult=0.4 |
4.0% | -47.5% | 0.29 | 0.08 | 1.9x | 213 | 52% |
| ADX / DI 방향성 period=16, threshold=39 |
0.8% | -15.1% | 0.16 | 0.05 | 1.1x | 12 | 2% |
| Buy and hold | 9.7% | -60.4% | 0.45 | 0.16 | 4.6x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 17 days