Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Tobacco Inc. backtest
10 trend-following strategies were compared on the full daily history of Japan Tobacco 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 11.5%, MDD -39.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -68.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -39.2%, Sharpe 0.63, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 11.5%, MDD -39.2%, exposure 58%).
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=73, slow=357 |
11.5% | -39.2% | 0.63 | 0.29 | 18.3x | 11 | 58% |
| SMA 크로스오버 fast=17, slow=274 |
9.6% | -41.3% | 0.54 | 0.23 | 11.4x | 41 | 59% |
| Donchian 채널 돌파 entryN=129, exitN=87 |
8.1% | -53.8% | 0.51 | 0.15 | 8.0x | 21 | 49% |
| ROC 모멘텀 n=147, threshold=-0.02 |
3.8% | -69.5% | 0.28 | 0.05 | 2.7x | 193 | 65% |
| 볼린저 밴드 돌파 n=67, k=3 |
1.8% | -33.0% | 0.21 | 0.06 | 1.6x | 39 | 20% |
| Supertrend period=28, mult=4.9 |
1.4% | -52.4% | 0.17 | 0.03 | 1.5x | 95 | 56% |
| ADX / DI 방향성 period=30, threshold=31 |
0.1% | -7.0% | 0.10 | 0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.0% | -75.8% | -0.00 | -0.03 | 0.6x | 217 | 57% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=10, mult=3.2 |
-2.3% | -54.1% | -0.12 | -0.04 | 0.5x | 105 | 23% |
| MACD fast=19, slow=57, signal=18 |
-6.5% | -90.6% | -0.25 | -0.07 | 0.2x | 313 | 51% |
| Buy and hold | 8.7% | -68.9% | 0.43 | 0.13 | 9.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 357-day EMA
- Sell — Sell when the 73-day EMA falls below the 357-day EMA