Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yoshinoya Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yoshinoya Holdings Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.6%, MDD -35.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.5%, drawdown -70.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.6%, MDD -35.6%, Sharpe 0.24, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 2.6%, MDD -35.6%, exposure 61%).
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=64, exitN=76 |
2.6% | -35.6% | 0.24 | 0.07 | 1.9x | 43 | 61% |
| 볼린저 밴드 돌파 n=62, k=2.8 |
1.4% | -23.7% | 0.20 | 0.06 | 1.4x | 45 | 17% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=31, mult=3.9 |
0.7% | -13.0% | 0.20 | 0.05 | 1.2x | 11 | 2% |
| SMA 크로스오버 fast=57, slow=72 |
1.1% | -49.5% | 0.15 | 0.02 | 1.3x | 126 | 54% |
| EMA 크로스오버 fast=18, slow=46 |
0.7% | -45.0% | 0.12 | 0.02 | 1.2x | 115 | 52% |
| Supertrend period=19, mult=4.7 |
0.1% | -48.2% | 0.08 | 0.00 | 1.0x | 109 | 52% |
| MACD fast=23, slow=50, signal=21 |
-0.3% | -66.9% | 0.06 | -0.00 | 0.9x | 221 | 52% |
| ADX / DI 방향성 period=37, threshold=19 |
-0.9% | -34.4% | -0.08 | -0.03 | 0.8x | 61 | 13% |
| ROC 모멘텀 n=68, threshold=-0.03 |
-3.4% | -73.3% | -0.11 | -0.05 | 0.4x | 297 | 66% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-4.9% | -82.4% | -0.25 | -0.06 | 0.3x | 589 | 51% |
| Buy and hold | 2.5% | -70.9% | 0.22 | 0.04 | 1.9x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 76 days