Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Aica Kogyo Company, Limited backtest
10 trend-following strategies were compared on the full daily history of Aica Kogyo Company, Limited. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -36.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -67.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -36.8%, Sharpe 0.47, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.0%, MDD -67.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 30.5%p (CAGR 7.5%, MDD -36.8%, exposure 65%).
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=87, slow=348 |
7.5% | -36.8% | 0.47 | 0.20 | 6.4x | 15 | 65% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
8.0% | -67.3% | 0.42 | 0.12 | 7.2x | 3 | 100% |
| SMA 크로스오버 fast=78, slow=152 |
5.3% | -46.3% | 0.36 | 0.11 | 3.7x | 49 | 60% |
| Donchian 채널 돌파 entryN=27, exitN=105 |
4.5% | -54.0% | 0.31 | 0.08 | 3.1x | 41 | 83% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
1.7% | -22.3% | 0.27 | 0.08 | 1.5x | 18 | 9% |
| ADX / DI 방향성 period=50, threshold=20 |
1.0% | -17.8% | 0.19 | 0.06 | 1.3x | 10 | 5% |
| Supertrend period=9, mult=5 |
0.7% | -55.7% | 0.13 | 0.01 | 1.2x | 83 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=4 |
-0.6% | -37.2% | -0.00 | -0.02 | 0.9x | 51 | 19% |
| MACD fast=29, slow=41, signal=24 |
-2.9% | -76.6% | -0.07 | -0.04 | 0.5x | 233 | 53% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-3.9% | -79.4% | -0.11 | -0.05 | 0.4x | 339 | 55% |
| Buy and hold | 7.7% | -67.3% | 0.41 | 0.11 | 6.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 87-day EMA crosses above the 348-day EMA
- Sell — Sell when the 87-day EMA falls below the 348-day EMA