Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiwabo Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Daiwabo Holdings Co., Ltd.. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -51.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.4%, drawdown -84.7%).
Sharpe leader (same as main): MACD — CAGR 20.3%, MDD -59.3%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 14.0%, MDD -51.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=36, signal=11 |
20.3% | -59.3% | 0.73 | 0.34 | 117.3x | 352 | 53% |
| Donchian 채널 돌파 entryN=8, exitN=52 |
17.1% | -64.5% | 0.60 | 0.26 | 57.8x | 97 | 85% |
| Parabolic SAR step=0.01, maxStep=0.14 |
14.5% | -64.4% | 0.59 | 0.23 | 32.8x | 289 | 52% |
| SMA 크로스오버 fast=4, slow=19 |
14.0% | -51.3% | 0.57 | 0.27 | 28.9x | 392 | 54% |
| ADX / DI 방향성 period=11, threshold=27 |
9.8% | -51.9% | 0.50 | 0.19 | 11.0x | 254 | 29% |
| ROC 모멘텀 n=18, threshold=-0.06 |
11.6% | -69.9% | 0.48 | 0.17 | 16.7x | 405 | 77% |
| Supertrend period=23, mult=2.5 |
10.5% | -68.0% | 0.48 | 0.15 | 13.0x | 247 | 53% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
9.6% | -59.7% | 0.47 | 0.16 | 10.6x | 246 | 38% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=2.5 |
8.2% | -49.7% | 0.46 | 0.16 | 7.5x | 124 | 23% |
| EMA 크로스오버 fast=36, slow=76 |
4.4% | -84.4% | 0.29 | 0.05 | 3.0x | 73 | 59% |
| Buy and hold | 12.4% | -84.7% | 0.48 | 0.15 | 20.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/36) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line