Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Ohka Kogyo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tokyo Ohka Kogyo Co., Ltd.. 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 11.2%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -57.7%, Sharpe 0.46, 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=58, slow=83 |
8.9% | -57.7% | 0.46 | 0.15 | 8.8x | 105 | 57% |
| Donchian 채널 돌파 entryN=100, exitN=47 |
6.9% | -45.1% | 0.41 | 0.15 | 5.5x | 42 | 42% |
| EMA 크로스오버 fast=38, slow=218 |
5.5% | -73.6% | 0.33 | 0.07 | 3.9x | 39 | 60% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=21, mult=4 |
4.3% | -31.9% | 0.32 | 0.13 | 2.9x | 54 | 26% |
| ROC 모멘텀 n=190, threshold=-0.04 |
2.9% | -76.1% | 0.24 | 0.04 | 2.1x | 199 | 66% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
2.0% | -34.5% | 0.20 | 0.06 | 1.7x | 70 | 26% |
| ADX / DI 방향성 period=31, threshold=20 |
1.6% | -40.3% | 0.18 | 0.04 | 1.5x | 56 | 14% |
| Supertrend period=17, mult=4.7 |
0.5% | -66.8% | 0.15 | 0.01 | 1.1x | 104 | 58% |
| MACD fast=13, slow=22, signal=13 |
-3.1% | -87.6% | -0.01 | -0.04 | 0.4x | 452 | 51% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.0% | -89.5% | -0.09 | -0.06 | 0.3x | 440 | 55% |
| Buy and hold | 11.2% | -71.6% | 0.48 | 0.16 | 15.0x | 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 58-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 58-day average falls below the 83-day average