Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Internet Initiative Japan Inc. backtest
10 trend-following strategies were compared on the full daily history of Internet Initiative Japan Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -63.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.6%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -63.0%, Sharpe 0.48, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 10.4%, MDD -63.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=40 |
10.4% | -63.0% | 0.48 | 0.16 | 7.7x | 143 | 54% |
| Donchian 채널 돌파 entryN=34, exitN=43 |
9.4% | -64.3% | 0.44 | 0.15 | 6.4x | 57 | 61% |
| ROC 모멘텀 n=54, threshold=-0.04 |
5.6% | -73.3% | 0.33 | 0.08 | 3.1x | 245 | 64% |
| EMA 크로스오버 fast=12, slow=65 |
4.7% | -75.4% | 0.30 | 0.06 | 2.6x | 101 | 57% |
| ADX / DI 방향성 period=28, threshold=11 |
4.2% | -61.6% | 0.29 | 0.07 | 2.3x | 235 | 49% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
3.4% | -33.4% | 0.28 | 0.10 | 2.0x | 55 | 18% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.9% | -64.7% | 0.21 | 0.03 | 1.5x | 155 | 52% |
| Supertrend period=12, mult=3.5 |
1.0% | -67.1% | 0.19 | 0.01 | 1.2x | 123 | 56% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=3.7 |
0.8% | -49.0% | 0.13 | 0.02 | 1.2x | 55 | 15% |
| MACD fast=13, slow=41, signal=19 |
-1.3% | -77.9% | 0.11 | -0.02 | 0.8x | 259 | 51% |
| Buy and hold | 8.6% | -87.1% | 0.41 | 0.10 | 5.5x | 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 25-day average price crosses above the 40-day average
- Sell — Sell (to cash) when the 25-day average falls below the 40-day average