Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Takasago Thermal Engineering Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Takasago Thermal Engineering Co., Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -62.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -54.8%, Sharpe 0.53, 62% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -58.8%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=172 |
10.0% | -54.8% | 0.53 | 0.18 | 11.5x | 35 | 62% |
| SMA 크로스오버 fast=57, slow=261 |
10.3% | -58.8% | 0.53 | 0.17 | 12.2x | 25 | 60% |
| Donchian 채널 돌파 entryN=86, exitN=79 |
6.9% | -64.1% | 0.42 | 0.11 | 5.5x | 32 | 54% |
| ADX / DI 방향성 period=36, threshold=35 |
1.2% | -8.7% | 0.34 | 0.14 | 1.4x | 2 | 1% |
| ROC 모멘텀 n=153, threshold=-0.07 |
4.7% | -81.4% | 0.31 | 0.06 | 3.2x | 183 | 73% |
| Supertrend period=18, mult=5 |
2.6% | -67.7% | 0.23 | 0.04 | 1.9x | 90 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=1.9 |
1.9% | -57.6% | 0.19 | 0.03 | 1.6x | 154 | 40% |
| 볼린저 밴드 돌파 n=44, k=1.8 |
1.4% | -64.8% | 0.17 | 0.02 | 1.4x | 138 | 38% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.7% | -59.2% | 0.14 | 0.01 | 1.2x | 212 | 55% |
| MACD fast=17, slow=58, signal=18 |
-1.6% | -73.7% | 0.03 | -0.02 | 0.7x | 286 | 52% |
| Buy and hold | 9.6% | -62.8% | 0.45 | 0.15 | 10.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 172-day EMA
- Sell — Sell when the 33-day EMA falls below the 172-day EMA