Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Obayashi Corporation backtest
10 trend-following strategies were compared on the full daily history of Obayashi Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -70.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -63.2%, Sharpe 0.39, 59% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=67, slow=168 |
6.9% | -63.2% | 0.39 | 0.11 | 5.8x | 44 | 59% |
| EMA 크로스오버 fast=56, slow=281 |
6.3% | -68.5% | 0.38 | 0.09 | 5.0x | 29 | 54% |
| Donchian 채널 돌파 entryN=117, exitN=22 |
2.4% | -53.6% | 0.23 | 0.04 | 1.9x | 60 | 25% |
| ADX / DI 방향성 period=36, threshold=36 |
0.7% | -13.5% | 0.21 | 0.05 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
1.4% | -26.9% | 0.21 | 0.05 | 1.5x | 28 | 9% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.3% | -67.5% | 0.18 | 0.02 | 1.4x | 334 | 52% |
| ROC 모멘텀 n=130, threshold=0.13 |
1.2% | -58.4% | 0.16 | 0.02 | 1.4x | 184 | 31% |
| MACD fast=30, slow=31, signal=28 |
0.1% | -77.5% | 0.12 | 0.00 | 1.0x | 241 | 52% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=13, mult=4 |
0.1% | -6.6% | 0.06 | 0.02 | 1.0x | 4 | 0% |
| Supertrend period=15, mult=5 |
-1.8% | -72.8% | 0.05 | -0.02 | 0.6x | 104 | 56% |
| Buy and hold | 7.3% | -70.7% | 0.38 | 0.10 | 6.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 67-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 67-day average falls below the 168-day average