Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Skylark Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Skylark Holdings Co., 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 9.5%, drawdown -37.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -44.9%, Sharpe 0.43, 94% 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=36, threshold=-0.12 |
7.4% | -44.9% | 0.43 | 0.16 | 2.3x | 39 | 94% |
| Donchian 채널 돌파 entryN=24, exitN=96 |
6.9% | -35.7% | 0.43 | 0.19 | 2.2x | 21 | 85% |
| EMA 크로스오버 fast=44, slow=80 |
4.3% | -37.7% | 0.33 | 0.11 | 1.7x | 31 | 61% |
| MACD fast=9, slow=26, signal=15 |
2.6% | -58.9% | 0.24 | 0.04 | 1.4x | 187 | 49% |
| 볼린저 밴드 돌파 n=20, k=1.3 |
2.1% | -55.8% | 0.21 | 0.04 | 1.3x | 149 | 42% |
| SMA 크로스오버 fast=36, slow=223 |
2.1% | -36.4% | 0.21 | 0.06 | 1.3x | 18 | 59% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=1.9 |
1.5% | -30.5% | 0.20 | 0.05 | 1.2x | 82 | 20% |
| Supertrend period=16, mult=1.9 |
1.6% | -66.9% | 0.18 | 0.02 | 1.2x | 159 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.3% | -56.2% | 0.11 | 0.01 | 1.0x | 185 | 50% |
| ADX / DI 방향성 period=17, threshold=16 |
0.3% | -53.3% | 0.10 | 0.01 | 1.0x | 133 | 39% |
| Buy and hold | 9.5% | -37.3% | 0.49 | 0.25 | 2.9x | 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 36-day return is greater than -12%
- Sell — Sell when the 36-day return drops to -12% or below