Trend-Following Backtester · Guide · backtest 한국어
equity · JP
PERSOL HOLDINGS CO. LTD. backtest
10 trend-following strategies were compared on the full daily history of PERSOL HOLDINGS CO. LTD.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -21.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.2%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -52.0%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.1%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 2.9%, MDD -21.8%, exposure 5%).
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=44, slow=139 |
10.9% | -52.0% | 0.53 | 0.21 | 8.4x | 33 | 54% |
| Donchian 채널 돌파 entryN=95, exitN=73 |
9.5% | -41.3% | 0.49 | 0.23 | 6.4x | 23 | 48% |
| EMA 크로스오버 fast=48, slow=87 |
8.7% | -49.5% | 0.47 | 0.18 | 5.5x | 31 | 48% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
3.5% | -32.5% | 0.38 | 0.11 | 2.0x | 12 | 7% |
| ADX / DI 방향성 period=38, threshold=21 |
2.9% | -21.8% | 0.34 | 0.13 | 1.8x | 18 | 5% |
| Supertrend period=13, mult=5 |
4.8% | -57.7% | 0.31 | 0.08 | 2.6x | 55 | 54% |
| ROC 모멘텀 n=118, threshold=0.02 |
4.6% | -53.4% | 0.31 | 0.09 | 2.5x | 155 | 51% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=3.5 |
1.6% | -32.0% | 0.22 | 0.05 | 1.4x | 29 | 8% |
| MACD fast=19, slow=48, signal=10 |
-2.8% | -72.5% | 0.02 | -0.04 | 0.6x | 265 | 54% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.7% | -80.0% | -0.11 | -0.07 | 0.3x | 261 | 53% |
| Buy and hold | -27.2% | -100.0% | 0.23 | -0.27 | 0.0x | 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 44-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 44-day average falls below the 139-day average