Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Asahi Kasei Corporation backtest
10 trend-following strategies were compared on the full daily history of Asahi Kasei Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -43.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -43.7%, Sharpe 0.40, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 6.0%, MDD -43.7%, exposure 51%).
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=33, slow=190 |
6.0% | -43.7% | 0.40 | 0.14 | 4.7x | 43 | 51% |
| Donchian 채널 돌파 entryN=111, exitN=57 |
5.5% | -46.7% | 0.39 | 0.12 | 4.1x | 39 | 41% |
| EMA 크로스오버 fast=54, slow=77 |
5.7% | -49.5% | 0.38 | 0.11 | 4.3x | 61 | 53% |
| Supertrend period=21, mult=4.2 |
5.0% | -61.1% | 0.34 | 0.08 | 3.7x | 115 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=1.6 |
4.3% | -53.5% | 0.33 | 0.08 | 3.1x | 151 | 41% |
| ROC 모멘텀 n=127, threshold=0.08 |
4.2% | -47.8% | 0.32 | 0.09 | 3.0x | 195 | 38% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
2.6% | -25.7% | 0.30 | 0.10 | 2.0x | 30 | 13% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.8% | -68.8% | 0.19 | 0.03 | 1.6x | 218 | 53% |
| ADX / DI 방향성 period=37, threshold=22 |
1.0% | -30.7% | 0.16 | 0.03 | 1.3x | 32 | 8% |
| MACD fast=16, slow=52, signal=18 |
-1.7% | -67.1% | 0.02 | -0.03 | 0.6x | 298 | 51% |
| Buy and hold | 4.6% | -70.0% | 0.30 | 0.07 | 3.3x | 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 33-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 33-day average falls below the 190-day average