Trend-Following Backtester · Guide · backtest 한국어
equity · JP
GMO Payment Gateway, Inc. backtest
10 trend-following strategies were compared on the full daily history of GMO Payment Gateway, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 42.7%, drawdown -95.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -57.6%, Sharpe 0.52, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=263 |
12.7% | -57.6% | 0.52 | 0.22 | 12.9x | 23 | 57% |
| EMA 크로스오버 fast=33, slow=176 |
10.0% | -77.3% | 0.45 | 0.13 | 7.6x | 37 | 58% |
| Donchian 채널 돌파 entryN=15, exitN=61 |
7.7% | -90.0% | 0.39 | 0.09 | 4.9x | 63 | 82% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
3.7% | -39.9% | 0.28 | 0.09 | 2.2x | 38 | 16% |
| ADX / DI 방향성 period=39, threshold=13 |
3.6% | -69.3% | 0.27 | 0.05 | 2.1x | 98 | 30% |
| MACD fast=11, slow=53, signal=17 |
2.7% | -77.9% | 0.25 | 0.03 | 1.8x | 297 | 52% |
| ROC 모멘텀 n=92, threshold=-0.03 |
1.1% | -80.9% | 0.22 | 0.01 | 1.3x | 255 | 59% |
| Supertrend period=28, mult=2 |
-1.6% | -79.8% | 0.13 | -0.02 | 0.7x | 297 | 53% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=3.3 |
-0.6% | -59.0% | 0.07 | -0.01 | 0.9x | 64 | 14% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.3% | -88.3% | 0.06 | -0.05 | 0.4x | 273 | 53% |
| Buy and hold | 42.7% | -95.9% | 0.22 | 0.45 | 1976.2x | 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 64-day average price crosses above the 263-day average
- Sell — Sell (to cash) when the 64-day average falls below the 263-day average