Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Asahi Group Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of Asahi Group Holdings Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -51.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -39.1%, Sharpe 0.32, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=165 |
4.2% | -39.1% | 0.32 | 0.11 | 2.9x | 42 | 58% |
| Donchian 채널 돌파 entryN=89, exitN=95 |
4.0% | -38.6% | 0.31 | 0.10 | 2.8x | 35 | 59% |
| EMA 크로스오버 fast=53, slow=80 |
4.0% | -37.6% | 0.31 | 0.11 | 2.9x | 51 | 60% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
1.5% | -17.3% | 0.25 | 0.09 | 1.5x | 18 | 8% |
| ADX / DI 방향성 period=21, threshold=41 |
0.2% | -4.3% | 0.19 | 0.05 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=132, threshold=0.04 |
1.5% | -47.7% | 0.17 | 0.03 | 1.5x | 223 | 49% |
| Supertrend period=25, mult=4.8 |
-1.0% | -61.3% | 0.03 | -0.02 | 0.8x | 103 | 57% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=10, mult=2.8 |
-0.0% | -5.4% | -0.01 | -0.01 | 1.0x | 8 | 1% |
| MACD fast=23, slow=62, signal=27 |
-2.1% | -72.0% | -0.04 | -0.03 | 0.6x | 223 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.3% | -66.0% | -0.04 | -0.04 | 0.5x | 345 | 52% |
| Buy and hold | 5.8% | -51.9% | 0.35 | 0.11 | 4.5x | 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 28-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 28-day average falls below the 165-day average