Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Money Forward, Inc. backtest
10 trend-following strategies were compared on the full daily history of Money Forward, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.0%, MDD -43.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.3%, drawdown -69.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.0%, MDD -43.1%, Sharpe 0.64, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 19.0%, MDD -43.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=62 |
19.0% | -43.1% | 0.64 | 0.44 | 4.6x | 21 | 55% |
| Supertrend period=28, mult=4.5 |
17.5% | -50.4% | 0.61 | 0.35 | 4.2x | 29 | 53% |
| MACD fast=14, slow=31, signal=11 |
17.0% | -52.5% | 0.58 | 0.32 | 4.0x | 127 | 51% |
| ROC 모멘텀 n=85, threshold=-0.07 |
14.9% | -49.3% | 0.54 | 0.30 | 3.4x | 79 | 62% |
| SMA 크로스오버 fast=37, slow=88 |
13.8% | -49.2% | 0.53 | 0.28 | 3.1x | 21 | 52% |
| Donchian 채널 돌파 entryN=66, exitN=43 |
12.1% | -51.8% | 0.49 | 0.23 | 2.7x | 19 | 49% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
10.8% | -34.4% | 0.48 | 0.31 | 2.5x | 43 | 31% |
| Parabolic SAR step=0.01, maxStep=0.06 |
8.9% | -54.8% | 0.42 | 0.16 | 2.1x | 99 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=1.2 |
6.8% | -45.0% | 0.36 | 0.15 | 1.8x | 65 | 42% |
| ADX / DI 방향성 period=35, threshold=29 |
1.2% | -15.1% | 0.20 | 0.08 | 1.1x | 2 | 1% |
| Buy and hold | 15.3% | -69.8% | 0.54 | 0.22 | 3.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 62-day EMA
- Sell — Sell when the 31-day EMA falls below the 62-day EMA