Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MEITEC Group Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of MEITEC Group Holdings Inc.. 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 4.1%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.9%, MDD -50.8%, Sharpe 0.20, 40% 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=97, exitN=48 |
1.9% | -50.8% | 0.20 | 0.04 | 1.6x | 47 | 40% |
| EMA 크로스오버 fast=55, slow=85 |
1.4% | -69.0% | 0.17 | 0.02 | 1.4x | 51 | 58% |
| SMA 크로스오버 fast=23, slow=156 |
1.4% | -74.3% | 0.17 | 0.02 | 1.4x | 67 | 55% |
| 볼린저 밴드 돌파 n=60, k=3.1 |
-0.3% | -36.2% | 0.03 | -0.01 | 0.9x | 32 | 13% |
| ADX / DI 방향성 period=19, threshold=33 |
-0.2% | -15.3% | -0.03 | -0.01 | 1.0x | 20 | 3% |
| ROC 모멘텀 n=122, threshold=-0.08 |
-3.5% | -86.6% | -0.03 | -0.04 | 0.4x | 209 | 73% |
| Supertrend period=24, mult=5 |
-4.1% | -86.5% | -0.08 | -0.05 | 0.3x | 89 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.5% | -85.8% | -0.15 | -0.06 | 0.2x | 203 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=21, mult=3.8 |
-1.4% | -35.7% | -0.21 | -0.04 | 0.7x | 22 | 3% |
| MACD fast=15, slow=56, signal=15 |
-7.2% | -90.4% | -0.24 | -0.08 | 0.1x | 315 | 52% |
| Buy and hold | 4.1% | -75.0% | 0.29 | 0.05 | 2.8x | 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 97 days
- Sell — Sell when price breaks below the lowest low of the last 48 days