Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsui Chemicals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mitsui Chemicals, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -10.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.2%, drawdown -87.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.4%, MDD -55.8%, Sharpe 0.26, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 0.2%, MDD -10.1%, exposure 1%).
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=47, slow=214 |
3.4% | -55.8% | 0.26 | 0.06 | 2.4x | 27 | 51% |
| SMA 크로스오버 fast=17, slow=165 |
2.0% | -59.4% | 0.21 | 0.03 | 1.7x | 65 | 53% |
| Donchian 채널 돌파 entryN=117, exitN=22 |
1.2% | -40.8% | 0.16 | 0.03 | 1.4x | 58 | 26% |
| ROC 모멘텀 n=153, threshold=-0.01 |
0.5% | -69.5% | 0.14 | 0.01 | 1.1x | 139 | 52% |
| ADX / DI 방향성 period=28, threshold=30 |
0.2% | -10.1% | 0.08 | 0.02 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.0% | -34.4% | 0.05 | 0.00 | 1.0x | 22 | 7% |
| Supertrend period=16, mult=4.3 |
-1.9% | -56.6% | 0.04 | -0.03 | 0.6x | 121 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=2.9 |
-1.6% | -57.7% | -0.01 | -0.03 | 0.6x | 98 | 29% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.9% | -92.6% | -0.17 | -0.07 | 0.2x | 231 | 54% |
| MACD fast=17, slow=49, signal=15 |
-7.6% | -92.1% | -0.20 | -0.08 | 0.1x | 336 | 52% |
| Buy and hold | 0.2% | -87.7% | 0.19 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 214-day EMA
- Sell — Sell when the 47-day EMA falls below the 214-day EMA