Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ITO EN,Ltd. backtest
10 trend-following strategies were compared on the full daily history of ITO EN,Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -14.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.2%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -36.0%, Sharpe 0.47, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 2.8%, MDD -14.2%, exposure 4%).
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=60, slow=363 |
7.8% | -36.0% | 0.47 | 0.22 | 6.9x | 14 | 57% |
| ADX / DI 방향성 period=20, threshold=38 |
2.8% | -14.2% | 0.32 | 0.20 | 2.0x | 14 | 4% |
| EMA 크로스오버 fast=55, slow=205 |
4.4% | -50.2% | 0.31 | 0.09 | 3.0x | 25 | 57% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=16, mult=2.7 |
2.4% | -26.2% | 0.25 | 0.09 | 1.8x | 68 | 10% |
| 볼린저 밴드 돌파 n=23, k=2.4 |
1.4% | -36.5% | 0.17 | 0.04 | 1.4x | 126 | 21% |
| Donchian 채널 돌파 entryN=55, exitN=69 |
1.0% | -58.0% | 0.15 | 0.02 | 1.3x | 49 | 54% |
| ROC 모멘텀 n=5, threshold=0.11 |
0.2% | -17.2% | 0.06 | 0.01 | 1.0x | 40 | 1% |
| MACD fast=11, slow=28, signal=11 |
-1.8% | -68.2% | 0.00 | -0.03 | 0.6x | 414 | 53% |
| Supertrend period=9, mult=3.1 |
-1.8% | -72.6% | -0.00 | -0.02 | 0.6x | 203 | 51% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-4.3% | -74.7% | -0.13 | -0.06 | 0.3x | 319 | 50% |
| Buy and hold | -0.2% | -77.4% | 0.13 | -0.00 | 1.0x | 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 60-day average price crosses above the 363-day average
- Sell — Sell (to cash) when the 60-day average falls below the 363-day average