Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DeNA Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of DeNA Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -60.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -66.3%, Sharpe 0.35, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 5.9%, MDD -60.9%, exposure 34%).
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=47, slow=88 |
6.3% | -66.3% | 0.35 | 0.10 | 3.7x | 68 | 52% |
| Donchian 채널 돌파 entryN=78, exitN=38 |
5.9% | -60.9% | 0.35 | 0.10 | 3.5x | 40 | 34% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=18, mult=3.7 |
4.7% | -49.8% | 0.31 | 0.09 | 2.7x | 44 | 22% |
| 볼린저 밴드 돌파 n=56, k=3 |
2.8% | -44.8% | 0.24 | 0.06 | 1.8x | 32 | 13% |
| EMA 크로스오버 fast=58, slow=70 |
1.6% | -77.3% | 0.22 | 0.02 | 1.4x | 54 | 52% |
| Supertrend period=8, mult=4.5 |
1.7% | -72.3% | 0.22 | 0.02 | 1.4x | 96 | 52% |
| ADX / DI 방향성 period=25, threshold=23 |
2.4% | -36.9% | 0.22 | 0.06 | 1.6x | 48 | 14% |
| ROC 모멘텀 n=137, threshold=-0.01 |
0.3% | -76.6% | 0.18 | 0.00 | 1.1x | 202 | 53% |
| MACD fast=15, slow=16, signal=18 |
-4.1% | -75.1% | 0.05 | -0.05 | 0.4x | 321 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.0% | -78.9% | 0.04 | -0.05 | 0.4x | 356 | 51% |
| Buy and hold | 7.8% | -76.6% | 0.40 | 0.10 | 5.0x | 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 47-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 47-day average falls below the 88-day average