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. 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 7.2%, drawdown -67.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -40.4%, Sharpe 0.34, 59% 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=77, slow=102 |
4.8% | -40.4% | 0.34 | 0.12 | 3.3x | 88 | 59% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
2.0% | -15.0% | 0.31 | 0.13 | 1.7x | 20 | 9% |
| ROC 모멘텀 n=198, threshold=-0.14 |
4.5% | -52.3% | 0.31 | 0.09 | 3.1x | 79 | 86% |
| ADX / DI 방향성 period=51, threshold=19 |
1.4% | -17.8% | 0.24 | 0.08 | 1.4x | 8 | 5% |
| EMA 크로스오버 fast=38, slow=210 |
2.3% | -53.1% | 0.21 | 0.04 | 1.8x | 41 | 61% |
| Donchian 채널 돌파 entryN=68, exitN=58 |
0.7% | -54.4% | 0.13 | 0.01 | 1.2x | 45 | 58% |
| Supertrend period=9, mult=5 |
0.1% | -55.7% | 0.10 | 0.00 | 1.0x | 83 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=4 |
-0.8% | -38.1% | -0.02 | -0.02 | 0.8x | 52 | 19% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-4.1% | -79.4% | -0.12 | -0.05 | 0.3x | 337 | 55% |
| MACD fast=17, slow=36, signal=17 |
-7.1% | -91.4% | -0.32 | -0.08 | 0.2x | 347 | 52% |
| Buy and hold | 7.2% | -67.3% | 0.39 | 0.11 | 5.9x | 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 77-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 77-day average falls below the 102-day average