Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Suntory Beverage & Food Ltd. backtest
10 trend-following strategies were compared on the full daily history of Suntory Beverage & Food Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -38.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.24, 0% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=16, threshold=0.18 |
0.1% | -0.5% | 0.24 | 0.24 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=59, slow=155 |
-0.5% | -46.9% | 0.05 | -0.01 | 0.9x | 22 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.6 |
0.0% | -6.8% | 0.03 | 0.01 | 1.0x | 6 | 2% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-0.0% | -5.0% | -0.01 | -0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=20, exitN=53 |
-2.1% | -58.0% | -0.02 | -0.04 | 0.8x | 45 | 66% |
| EMA 크로스오버 fast=49, slow=189 |
-1.8% | -52.9% | -0.02 | -0.03 | 0.8x | 24 | 52% |
| ADX / DI 방향성 period=24, threshold=29 |
-0.2% | -9.9% | -0.10 | -0.02 | 1.0x | 4 | 1% |
| Supertrend period=26, mult=3.3 |
-4.2% | -55.4% | -0.18 | -0.08 | 0.6x | 79 | 57% |
| MACD fast=19, slow=47, signal=19 |
-6.4% | -69.8% | -0.33 | -0.09 | 0.4x | 141 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-10.4% | -81.0% | -0.58 | -0.13 | 0.2x | 217 | 53% |
| Buy and hold | 2.6% | -38.3% | 0.23 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than 18%
- Sell — Sell when the 16-day return drops to 18% or below