Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Murata Manufacturing Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Murata Manufacturing Co., Ltd.. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -51.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.3%, drawdown -80.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.3%, MDD -59.6%, Sharpe 0.44, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -51.2%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 21.2%p (CAGR 8.1%, MDD -51.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=4 |
6.3% | -59.6% | 0.44 | 0.11 | 4.7x | 62 | 21% |
| SMA 크로스오버 fast=11, slow=99 |
8.1% | -51.2% | 0.43 | 0.16 | 7.4x | 93 | 53% |
| EMA 크로스오버 fast=57, slow=208 |
8.1% | -61.3% | 0.43 | 0.13 | 7.3x | 27 | 55% |
| Donchian 채널 돌파 entryN=64, exitN=30 |
7.2% | -54.2% | 0.43 | 0.13 | 5.9x | 70 | 39% |
| ADX / DI 방향성 period=12, threshold=41 |
3.7% | -30.0% | 0.40 | 0.12 | 2.5x | 44 | 5% |
| 볼린저 밴드 돌파 n=44, k=1.3 |
6.5% | -63.0% | 0.39 | 0.10 | 5.0x | 158 | 39% |
| ROC 모멘텀 n=168, threshold=-0.04 |
7.0% | -63.5% | 0.38 | 0.11 | 5.7x | 147 | 62% |
| Supertrend period=9, mult=5 |
1.2% | -80.5% | 0.18 | 0.02 | 1.4x | 106 | 53% |
| MACD fast=22, slow=59, signal=21 |
0.9% | -87.4% | 0.17 | 0.01 | 1.3x | 228 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.5% | -92.7% | -0.14 | -0.07 | 0.2x | 224 | 53% |
| Buy and hold | 6.3% | -80.8% | 0.35 | 0.08 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average