Trend-Following Backtester · Guide · backtest 한국어
equity · JP
McDonald's Holdings Company (Japan), Ltd. backtest
10 trend-following strategies were compared on the full daily history of McDonald's Holdings Company (Japan), Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -24.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.2%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -34.3%, Sharpe 0.48, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 2.8%, MDD -24.1%, exposure 32%).
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=114, slow=268 |
5.9% | -34.3% | 0.48 | 0.17 | 4.2x | 23 | 61% |
| ADX / DI 방향성 period=26, threshold=39 |
1.2% | -6.4% | 0.43 | 0.19 | 1.4x | 6 | 2% |
| MACD fast=16, slow=61, signal=30 |
3.8% | -31.2% | 0.35 | 0.12 | 2.6x | 179 | 52% |
| 볼린저 밴드 돌파 n=36, k=2 |
2.8% | -24.1% | 0.31 | 0.12 | 2.0x | 125 | 32% |
| Donchian 채널 돌파 entryN=22, exitN=34 |
2.9% | -30.5% | 0.28 | 0.09 | 2.0x | 103 | 60% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=2.9 |
1.7% | -25.1% | 0.23 | 0.07 | 1.5x | 100 | 22% |
| EMA 크로스오버 fast=46, slow=117 |
1.4% | -40.1% | 0.17 | 0.04 | 1.4x | 51 | 56% |
| Supertrend period=19, mult=3.4 |
1.1% | -48.3% | 0.15 | 0.02 | 1.3x | 167 | 49% |
| ROC 모멘텀 n=63, threshold=-0.04 |
-0.7% | -52.8% | 0.03 | -0.01 | 0.8x | 241 | 76% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-1.0% | -45.5% | -0.00 | -0.02 | 0.8x | 373 | 52% |
| Buy and hold | 2.2% | -73.4% | 0.21 | 0.03 | 1.7x | 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 114-day average price crosses above the 268-day average
- Sell — Sell (to cash) when the 114-day average falls below the 268-day average