Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Square Enix Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Square Enix Holdings 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 5.8%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.2%, MDD -75.5%, Sharpe 0.19, 75% 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=14, exitN=43 |
1.2% | -75.5% | 0.19 | 0.02 | 1.3x | 109 | 75% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.3% | -6.6% | 0.13 | 0.04 | 1.1x | 4 | 1% |
| Supertrend period=9, mult=2.1 |
-0.1% | -61.7% | 0.13 | -0.00 | 1.0x | 311 | 52% |
| SMA 크로스오버 fast=21, slow=79 |
-0.2% | -76.5% | 0.12 | -0.00 | 1.0x | 99 | 52% |
| EMA 크로스오버 fast=36, slow=190 |
-0.9% | -70.2% | 0.10 | -0.01 | 0.8x | 52 | 58% |
| ADX / DI 방향성 period=33, threshold=29 |
0.4% | -21.5% | 0.10 | 0.02 | 1.1x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=32, mult=3.9 |
0.2% | -28.1% | 0.07 | 0.01 | 1.1x | 25 | 4% |
| MACD fast=16, slow=49, signal=17 |
-1.6% | -77.9% | 0.06 | -0.02 | 0.7x | 297 | 52% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-3.6% | -76.8% | -0.01 | -0.05 | 0.4x | 323 | 51% |
| ROC 모멘텀 n=55, threshold=-0.02 |
-3.9% | -93.3% | -0.01 | -0.04 | 0.4x | 369 | 58% |
| Buy and hold | 5.8% | -75.0% | 0.34 | 0.08 | 4.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 43 days