Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Zeon Corporation backtest
10 trend-following strategies were compared on the full daily history of Zeon Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -48.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -48.6%, Sharpe 0.48, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 9.2%, MDD -48.6%, exposure 54%).
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=30, slow=157 |
9.2% | -48.6% | 0.48 | 0.19 | 9.6x | 47 | 54% |
| EMA 크로스오버 fast=40, slow=207 |
8.2% | -51.3% | 0.44 | 0.16 | 7.6x | 33 | 57% |
| 볼린저 밴드 돌파 n=29, k=2.9 |
3.9% | -41.0% | 0.37 | 0.10 | 2.7x | 54 | 14% |
| Donchian 채널 돌파 entryN=25, exitN=41 |
5.2% | -75.6% | 0.32 | 0.07 | 3.6x | 89 | 65% |
| ROC 모멘텀 n=136, threshold=0.12 |
4.3% | -50.5% | 0.30 | 0.09 | 3.0x | 187 | 37% |
| ADX / DI 방향성 period=29, threshold=36 |
0.8% | -7.5% | 0.29 | 0.10 | 1.2x | 4 | 1% |
| Supertrend period=17, mult=5 |
4.1% | -67.0% | 0.28 | 0.06 | 2.8x | 93 | 52% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=25, mult=3.6 |
3.1% | -53.2% | 0.26 | 0.06 | 2.2x | 67 | 31% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.4% | -82.7% | 0.03 | -0.03 | 0.5x | 327 | 53% |
| MACD fast=13, slow=49, signal=19 |
-5.4% | -88.9% | -0.09 | -0.06 | 0.2x | 338 | 51% |
| Buy and hold | 7.3% | -87.9% | 0.38 | 0.08 | 6.1x | 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 30-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 30-day average falls below the 157-day average