Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Coca-Cola Bottlers Japan Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Coca-Cola Bottlers Japan Holdings Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.3%, MDD -40.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.3%, drawdown -73.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -40.5%, Sharpe 0.36, 43% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 5.3%, MDD -40.5%, exposure 43%).
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=77, slow=401 |
5.3% | -40.5% | 0.36 | 0.13 | 3.7x | 11 | 43% |
| ADX / DI 방향성 period=23, threshold=39 |
0.7% | -11.2% | 0.22 | 0.07 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=50, slow=123 |
1.8% | -59.8% | 0.19 | 0.03 | 1.6x | 59 | 50% |
| MACD fast=19, slow=22, signal=14 |
0.3% | -63.4% | 0.12 | 0.01 | 1.1x | 354 | 51% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
0.6% | -30.8% | 0.11 | 0.02 | 1.2x | 86 | 12% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=8, mult=3.4 |
0.3% | -31.5% | 0.08 | 0.01 | 1.1x | 48 | 9% |
| Donchian 채널 돌파 entryN=109, exitN=48 |
-0.1% | -52.0% | 0.08 | -0.00 | 1.0x | 43 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.7% | -74.2% | -0.04 | -0.04 | 0.5x | 409 | 50% |
| ROC 모멘텀 n=142, threshold=-0.04 |
-3.5% | -81.3% | -0.06 | -0.04 | 0.4x | 209 | 59% |
| Supertrend period=19, mult=2.6 |
-3.6% | -79.3% | -0.09 | -0.05 | 0.4x | 245 | 52% |
| Buy and hold | 1.3% | -73.9% | 0.19 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 77-day EMA crosses above the 401-day EMA
- Sell — Sell when the 77-day EMA falls below the 401-day EMA