Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DAI-DAN Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of DAI-DAN Co., Ltd.. 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 11.3%, drawdown -61.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -52.5%, Sharpe 0.41, 63% 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=51, slow=180 |
8.1% | -52.5% | 0.41 | 0.16 | 7.4x | 46 | 63% |
| EMA 크로스오버 fast=43, slow=227 |
7.2% | -69.1% | 0.38 | 0.10 | 6.0x | 31 | 62% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
3.9% | -44.7% | 0.36 | 0.09 | 2.7x | 36 | 16% |
| ADX / DI 방향성 period=17, threshold=39 |
2.1% | -21.8% | 0.34 | 0.10 | 1.7x | 16 | 3% |
| Donchian 채널 돌파 entryN=42, exitN=65 |
3.2% | -66.6% | 0.25 | 0.05 | 2.2x | 64 | 66% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=3.3 |
1.6% | -73.0% | 0.18 | 0.02 | 1.5x | 106 | 29% |
| ROC 모멘텀 n=132, threshold=-0.01 |
0.7% | -84.8% | 0.18 | 0.01 | 1.2x | 290 | 64% |
| Supertrend period=17, mult=5 |
-2.3% | -89.2% | 0.05 | -0.03 | 0.5x | 138 | 55% |
| MACD fast=24, slow=50, signal=28 |
-2.0% | -84.4% | 0.04 | -0.02 | 0.6x | 224 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.0% | -87.9% | -0.04 | -0.05 | 0.4x | 200 | 54% |
| Buy and hold | 11.3% | -61.9% | 0.48 | 0.18 | 15.4x | 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 51-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 51-day average falls below the 180-day average