Trend-Following Backtester · Guide · backtest 한국어
equity · JP
RAKUS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of RAKUS Co., Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.6%, MDD -39.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 27.0%, drawdown -73.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.6%, MDD -49.8%, Sharpe 0.91, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 32.9%, MDD -49.9%, exposure 79%.
Return/drawdown alternative: Supertrend — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 28.6%, MDD -39.5%, exposure 59%).
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=40, slow=87 |
31.6% | -49.8% | 0.91 | 0.63 | 19.0x | 29 | 65% |
| Donchian 채널 돌파 entryN=23, exitN=69 |
32.9% | -49.9% | 0.89 | 0.66 | 21.1x | 21 | 79% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
25.1% | -32.3% | 0.87 | 0.78 | 11.0x | 81 | 46% |
| Supertrend period=14, mult=4.1 |
28.6% | -39.5% | 0.87 | 0.72 | 14.8x | 41 | 59% |
| ROC 모멘텀 n=57, threshold=-0.02 |
27.1% | -62.7% | 0.82 | 0.43 | 13.1x | 99 | 66% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=1.1 |
21.5% | -31.6% | 0.78 | 0.68 | 8.1x | 101 | 46% |
| EMA 크로스오버 fast=41, slow=192 |
23.6% | -67.2% | 0.75 | 0.35 | 9.7x | 15 | 67% |
| MACD fast=20, slow=59, signal=7 |
17.9% | -66.9% | 0.66 | 0.27 | 5.9x | 141 | 48% |
| ADX / DI 방향성 period=10, threshold=19 |
14.2% | -49.1% | 0.58 | 0.29 | 4.2x | 227 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.8% | -72.0% | 0.49 | 0.16 | 3.3x | 171 | 53% |
| Buy and hold | 27.0% | -73.1% | 0.72 | 0.37 | 13.0x | 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 40-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 40-day average falls below the 87-day average