Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsui Fudosan Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mitsui Fudosan Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -77.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -70.6%, Sharpe 0.30, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=47, exitN=83 |
4.7% | -70.6% | 0.30 | 0.07 | 3.3x | 51 | 71% |
| SMA 크로스오버 fast=37, slow=107 |
4.3% | -65.7% | 0.30 | 0.07 | 3.1x | 74 | 55% |
| EMA 크로스오버 fast=46, slow=59 |
2.7% | -68.6% | 0.23 | 0.04 | 2.0x | 82 | 57% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
1.5% | -39.2% | 0.19 | 0.04 | 1.5x | 30 | 8% |
| MACD fast=19, slow=49, signal=31 |
1.5% | -60.2% | 0.18 | 0.03 | 1.5x | 231 | 50% |
| ADX / DI 방향성 period=39, threshold=28 |
0.9% | -25.7% | 0.17 | 0.03 | 1.3x | 6 | 2% |
| Supertrend period=29, mult=2.9 |
0.4% | -71.8% | 0.14 | 0.01 | 1.1x | 223 | 54% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=36, mult=3 |
0.4% | -76.8% | 0.12 | 0.01 | 1.1x | 98 | 33% |
| ROC 모멘텀 n=103, threshold=0.05 |
0.1% | -63.6% | 0.11 | 0.00 | 1.0x | 274 | 44% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.9% | -74.0% | 0.08 | -0.01 | 0.8x | 223 | 53% |
| Buy and hold | 7.2% | -77.4% | 0.37 | 0.09 | 6.4x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 83 days