Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yakult Honsha Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yakult Honsha 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 7.0%, MDD -40.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -40.1%, Sharpe 0.43, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 7.0%, MDD -40.1%, exposure 56%).
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=54, slow=107 |
7.0% | -40.1% | 0.43 | 0.18 | 5.7x | 59 | 56% |
| EMA 크로스오버 fast=21, slow=183 |
5.7% | -47.6% | 0.37 | 0.12 | 4.1x | 39 | 57% |
| Donchian 채널 돌파 entryN=28, exitN=51 |
5.5% | -55.1% | 0.35 | 0.10 | 3.9x | 65 | 68% |
| ROC 모멘텀 n=138, threshold=-0.04 |
3.9% | -55.3% | 0.28 | 0.07 | 2.7x | 161 | 66% |
| Supertrend period=8, mult=4.7 |
3.1% | -47.9% | 0.25 | 0.06 | 2.2x | 97 | 55% |
| 볼린저 밴드 돌파 n=79, k=2 |
1.4% | -45.0% | 0.17 | 0.03 | 1.4x | 75 | 37% |
| ADX / DI 방향성 period=41, threshold=17 |
1.1% | -39.7% | 0.16 | 0.03 | 1.3x | 44 | 16% |
| Keltner 채널 돌파 emaPeriod=132, atrPeriod=12, mult=1.7 |
0.7% | -48.0% | 0.14 | 0.02 | 1.2x | 101 | 49% |
| MACD fast=14, slow=36, signal=18 |
-3.2% | -69.3% | -0.05 | -0.05 | 0.4x | 343 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.3% | -80.5% | -0.06 | -0.04 | 0.4x | 221 | 54% |
| Buy and hold | 5.8% | -61.3% | 0.34 | 0.09 | 4.2x | 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 54-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 54-day average falls below the 107-day average