Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Bakelite Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Bakelite Co., Ltd.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -43.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.6%, drawdown -77.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.8%, MDD -44.9%, Sharpe 0.48, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 7.9%, MDD -43.9%, exposure 68%).
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=32, slow=122 |
8.8% | -44.9% | 0.48 | 0.20 | 8.7x | 35 | 54% |
| SMA 크로스오버 fast=18, slow=181 |
8.5% | -48.8% | 0.47 | 0.17 | 8.0x | 37 | 54% |
| Donchian 채널 돌파 entryN=30, exitN=70 |
7.9% | -43.9% | 0.42 | 0.18 | 6.9x | 57 | 68% |
| ROC 모멘텀 n=136, threshold=0.07 |
4.2% | -56.2% | 0.30 | 0.07 | 2.9x | 207 | 45% |
| ADX / DI 방향성 period=39, threshold=11 |
2.3% | -49.7% | 0.22 | 0.05 | 1.8x | 180 | 39% |
| Keltner 채널 돌파 emaPeriod=96, atrPeriod=19, mult=2.8 |
1.7% | -64.0% | 0.18 | 0.03 | 1.5x | 84 | 40% |
| Supertrend period=29, mult=4.5 |
1.5% | -66.1% | 0.18 | 0.02 | 1.4x | 104 | 57% |
| 볼린저 밴드 돌파 n=14, k=3.4 |
0.2% | -4.1% | 0.10 | 0.04 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.6% | -91.0% | -0.20 | -0.07 | 0.2x | 226 | 52% |
| MACD fast=15, slow=44, signal=10 |
-8.4% | -94.5% | -0.28 | -0.09 | 0.1x | 410 | 51% |
| Buy and hold | 3.6% | -77.8% | 0.28 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 122-day EMA
- Sell — Sell when the 32-day EMA falls below the 122-day EMA