Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sapporo Breweries Limited backtest
10 trend-following strategies were compared on the full daily history of Sapporo Breweries Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -78.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.7%, MDD -57.7%, Sharpe 0.32, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.8%, MDD -77.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=213 |
4.7% | -57.7% | 0.32 | 0.08 | 3.4x | 33 | 59% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.09 |
4.8% | -77.1% | 0.31 | 0.06 | 3.5x | 79 | 99% |
| SMA 크로스오버 fast=31, slow=210 |
4.4% | -60.2% | 0.30 | 0.07 | 3.1x | 41 | 56% |
| Donchian 채널 돌파 entryN=13, exitN=73 |
3.6% | -80.9% | 0.27 | 0.04 | 2.6x | 83 | 81% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
3.3% | -46.3% | 0.26 | 0.07 | 2.4x | 150 | 43% |
| Supertrend period=15, mult=4.9 |
2.7% | -70.8% | 0.23 | 0.04 | 2.0x | 101 | 52% |
| MACD fast=16, slow=67, signal=22 |
2.2% | -52.2% | 0.21 | 0.04 | 1.8x | 254 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.3% | -73.6% | 0.17 | 0.02 | 1.4x | 332 | 53% |
| ADX / DI 방향성 period=22, threshold=26 |
1.2% | -47.0% | 0.16 | 0.02 | 1.4x | 64 | 12% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=4 |
1.0% | -51.4% | 0.14 | 0.02 | 1.3x | 66 | 18% |
| Buy and hold | 6.6% | -78.3% | 0.36 | 0.08 | 5.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 213-day EMA
- Sell — Sell when the 55-day EMA falls below the 213-day EMA