Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Simplex Holdings,Inc. backtest
10 trend-following strategies were compared on the full daily history of Simplex Holdings,Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 16.7%, MDD -22.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.4%, drawdown -55.5%).
Sharpe leader (same as main): MACD — CAGR 16.7%, MDD -22.4%, Sharpe 0.68, 46% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.7%, MDD -32.5%, exposure 62%.
Return/drawdown alternative: MACD — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 16.7%, MDD -22.4%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=42, signal=6 |
16.7% | -22.4% | 0.68 | 0.74 | 2.2x | 66 | 46% |
| SMA 크로스오버 fast=57, slow=115 |
16.7% | -32.5% | 0.67 | 0.52 | 2.2x | 7 | 62% |
| Donchian 채널 돌파 entryN=38, exitN=49 |
16.3% | -28.7% | 0.66 | 0.57 | 2.1x | 7 | 64% |
| ROC 모멘텀 n=93, threshold=-0.06 |
14.8% | -32.3% | 0.61 | 0.46 | 2.0x | 25 | 68% |
| Parabolic SAR step=0.01, maxStep=0.1 |
14.1% | -31.6% | 0.57 | 0.45 | 1.9x | 60 | 50% |
| ADX / DI 방향성 period=38, threshold=21 |
3.5% | -12.4% | 0.51 | 0.29 | 1.2x | 2 | 8% |
| Supertrend period=7, mult=4.4 |
9.1% | -47.5% | 0.43 | 0.19 | 1.6x | 17 | 70% |
| 볼린저 밴드 돌파 n=12, k=1.1 |
7.1% | -42.0% | 0.38 | 0.17 | 1.4x | 94 | 40% |
| EMA 크로스오버 fast=32, slow=78 |
5.4% | -48.6% | 0.33 | 0.11 | 1.3x | 15 | 65% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=25, mult=1.3 |
-3.0% | -44.7% | -0.01 | -0.07 | 0.9x | 52 | 30% |
| Buy and hold | 16.4% | -55.5% | 0.57 | 0.30 | 2.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/42) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line