Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TSURUHA Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of TSURUHA Holdings, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.0%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -66.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -53.4%, Sharpe 0.52, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 13.4%p (CAGR 10.0%, MDD -53.4%, exposure 63%).
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=21, slow=213 |
10.0% | -53.4% | 0.52 | 0.19 | 11.4x | 44 | 63% |
| EMA 크로스오버 fast=41, slow=151 |
9.3% | -63.2% | 0.49 | 0.15 | 9.5x | 40 | 64% |
| Donchian 채널 돌파 entryN=112, exitN=71 |
8.2% | -50.5% | 0.48 | 0.16 | 7.5x | 28 | 51% |
| ROC 모멘텀 n=129, threshold=-0.08 |
7.3% | -70.3% | 0.40 | 0.10 | 6.0x | 199 | 75% |
| Supertrend period=8, mult=2.4 |
6.5% | -42.3% | 0.39 | 0.15 | 4.9x | 249 | 56% |
| 볼린저 밴드 돌파 n=45, k=1.5 |
4.9% | -62.7% | 0.34 | 0.08 | 3.4x | 147 | 43% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=2 |
4.5% | -46.0% | 0.32 | 0.10 | 3.0x | 157 | 39% |
| ADX / DI 방향성 period=51, threshold=16 |
3.2% | -39.1% | 0.30 | 0.08 | 2.2x | 52 | 20% |
| MACD fast=11, slow=25, signal=18 |
1.9% | -70.7% | 0.19 | 0.03 | 1.6x | 379 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.9% | -61.5% | 0.15 | 0.02 | 1.3x | 321 | 52% |
| Buy and hold | 10.7% | -66.8% | 0.48 | 0.16 | 13.4x | 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 21-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 21-day average falls below the 213-day average