Trend-Following Backtester · Guide · backtest 한국어

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Yamazaki Baking Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Yamazaki Baking Co., Ltd.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 2001-01-01 ~ 2026-07-31daily bars 6,373 (25.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 5.8%, drawdown -52.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -52.7%, Sharpe 0.35, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=3, threshold=-0.11
6.1%-52.7%0.350.124.5x27100%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=17, mult=4
2.2%-23.2%0.290.091.7x3810%
ADX / DI 방향성
period=38, threshold=25
1.8%-23.4%0.280.081.6x104%
SMA 크로스오버
fast=56, slow=138
1.3%-57.4%0.170.021.4x5652%
Supertrend
period=14, mult=5
0.6%-53.5%0.140.011.2x8951%
볼린저 밴드 돌파
n=44, k=3.5
0.5%-19.9%0.110.031.1x206%
EMA 크로스오버
fast=35, slow=99
-0.4%-78.4%0.09-0.010.9x7151%
Donchian 채널 돌파
entryN=18, exitN=48
-1.1%-69.7%0.08-0.020.8x10570%
Parabolic SAR
step=0.005, maxStep=0.18
-4.1%-75.3%-0.09-0.050.3x20951%
MACD
fast=21, slow=31, signal=24
-5.9%-81.3%-0.19-0.070.2x27352%
Buy and hold5.8%-52.6%0.340.114.2x1100%
1x 2002 2006 2010 2014 2018 2022 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -26% -40% -53% 2002 2006 2010 2014 2018 2022 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -52.7% (2016-07-20 → 2022-03-14), recovered after 2,655 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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