Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hokkaido Electric Power Company,Incorporated backtest
10 trend-following strategies were compared on the full daily history of Hokkaido Electric Power Company,Incorporated. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -23.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.4%, drawdown -89.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -33.5%, Sharpe 0.39, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 2.4%, MDD -23.4%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=3.1 |
4.1% | -33.5% | 0.39 | 0.12 | 2.8x | 38 | 11% |
| ADX / DI 방향성 period=17, threshold=46 |
2.4% | -23.4% | 0.37 | 0.10 | 1.8x | 12 | 2% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=9, mult=3.5 |
3.6% | -46.5% | 0.33 | 0.08 | 2.5x | 54 | 14% |
| Donchian 채널 돌파 entryN=60, exitN=11 |
2.6% | -47.8% | 0.25 | 0.05 | 1.9x | 100 | 22% |
| ROC 모멘텀 n=125, threshold=0.2 |
2.5% | -46.3% | 0.23 | 0.05 | 1.9x | 58 | 13% |
| SMA 크로스오버 fast=53, slow=114 |
0.9% | -67.7% | 0.15 | 0.01 | 1.3x | 54 | 49% |
| EMA 크로스오버 fast=37, slow=77 |
0.9% | -73.1% | 0.15 | 0.01 | 1.3x | 60 | 50% |
| MACD fast=15, slow=68, signal=16 |
-1.0% | -72.0% | 0.06 | -0.01 | 0.8x | 273 | 52% |
| Supertrend period=14, mult=2.7 |
-1.2% | -71.2% | 0.05 | -0.02 | 0.7x | 217 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.7% | -68.1% | 0.02 | -0.02 | 0.7x | 203 | 51% |
| Buy and hold | -1.4% | -89.5% | 0.11 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 41-day middle average