Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Osaka Gas Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Osaka Gas Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -46.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -13.8%, Sharpe 0.31, 5% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.9%, MDD -47.0%, exposure 20%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.7% | -13.8% | 0.31 | 0.12 | 1.6x | 16 | 5% |
| ADX / DI 방향성 period=29, threshold=16 |
1.9% | -47.0% | 0.22 | 0.04 | 1.7x | 110 | 20% |
| Donchian 채널 돌파 entryN=23, exitN=126 |
1.8% | -67.6% | 0.19 | 0.03 | 1.6x | 45 | 84% |
| SMA 크로스오버 fast=44, slow=213 |
1.3% | -64.6% | 0.16 | 0.02 | 1.4x | 50 | 56% |
| EMA 크로스오버 fast=54, slow=298 |
0.8% | -68.3% | 0.13 | 0.01 | 1.2x | 43 | 56% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=16, mult=4 |
0.5% | -34.1% | 0.11 | 0.01 | 1.1x | 26 | 6% |
| ROC 모멘텀 n=146, threshold=0.13 |
0.5% | -49.4% | 0.10 | 0.01 | 1.1x | 142 | 20% |
| Supertrend period=26, mult=4 |
-2.3% | -74.0% | -0.06 | -0.03 | 0.5x | 126 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.4% | -82.7% | -0.11 | -0.04 | 0.4x | 220 | 52% |
| MACD fast=21, slow=25, signal=18 |
-5.7% | -91.8% | -0.28 | -0.06 | 0.2x | 351 | 50% |
| Buy and hold | 5.8% | -46.7% | 0.36 | 0.12 | 4.5x | 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 29-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 29-day middle average