Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiwa House Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Daiwa House Industry Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -34.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -72.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -34.4%, Sharpe 0.45, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 7.7%, MDD -34.4%, exposure 59%).
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=50, slow=210 |
7.7% | -34.4% | 0.45 | 0.22 | 7.1x | 28 | 59% |
| ADX / DI 방향성 period=37, threshold=30 |
2.0% | -8.4% | 0.42 | 0.24 | 1.7x | 4 | 2% |
| Donchian 채널 돌파 entryN=96, exitN=74 |
6.3% | -47.4% | 0.41 | 0.13 | 5.1x | 30 | 56% |
| EMA 크로스오버 fast=38, slow=226 |
6.2% | -49.1% | 0.39 | 0.13 | 4.9x | 32 | 62% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
2.3% | -34.0% | 0.28 | 0.07 | 1.8x | 26 | 11% |
| ROC 모멘텀 n=106, threshold=-0.08 |
1.4% | -66.8% | 0.18 | 0.02 | 1.4x | 206 | 75% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=4 |
1.1% | -35.5% | 0.15 | 0.03 | 1.3x | 58 | 20% |
| Supertrend period=25, mult=4.4 |
-4.3% | -77.5% | -0.10 | -0.06 | 0.3x | 125 | 51% |
| MACD fast=13, slow=19, signal=18 |
-7.0% | -88.9% | -0.24 | -0.08 | 0.1x | 431 | 51% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-11.8% | -96.9% | -0.47 | -0.12 | 0.0x | 577 | 53% |
| Buy and hold | 7.1% | -72.6% | 0.38 | 0.10 | 6.2x | 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 50-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 50-day average falls below the 210-day average