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.. 2 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 3.0%, MDD -35.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -70.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.0%, MDD -35.6%, Sharpe 0.26, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 3.0%, MDD -35.6%, exposure 64%).
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=60, exitN=93 |
3.0% | -35.6% | 0.26 | 0.08 | 2.1x | 37 | 64% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=3.7 |
1.0% | -14.4% | 0.25 | 0.07 | 1.3x | 16 | 2% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.08 |
2.7% | -70.3% | 0.23 | 0.04 | 2.0x | 21 | 100% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
1.2% | -19.2% | 0.20 | 0.06 | 1.4x | 26 | 11% |
| SMA 크로스오버 fast=55, slow=69 |
1.3% | -47.6% | 0.16 | 0.03 | 1.4x | 129 | 54% |
| EMA 크로스오버 fast=15, slow=45 |
0.6% | -44.9% | 0.12 | 0.01 | 1.2x | 131 | 52% |
| Supertrend period=12, mult=4.7 |
0.2% | -44.3% | 0.09 | 0.00 | 1.0x | 109 | 51% |
| MACD fast=22, slow=51, signal=21 |
0.0% | -63.5% | 0.08 | 0.00 | 1.0x | 228 | 52% |
| ADX / DI 방향성 period=28, threshold=21 |
-0.8% | -32.3% | -0.05 | -0.02 | 0.8x | 69 | 15% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-5.2% | -82.4% | -0.27 | -0.06 | 0.3x | 594 | 51% |
| Buy and hold | 2.3% | -70.9% | 0.21 | 0.03 | 1.8x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 93 days