Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DIC Corporation backtest
10 trend-following strategies were compared on the full daily history of DIC Corporation. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -25.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -79.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.2%, MDD -46.5%, Sharpe 0.30, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 1.6%, MDD -25.2%, exposure 8%).
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=21, slow=186 |
4.2% | -46.5% | 0.30 | 0.09 | 2.9x | 51 | 49% |
| Donchian 채널 돌파 entryN=62, exitN=47 |
3.7% | -43.1% | 0.28 | 0.09 | 2.5x | 57 | 45% |
| SMA 크로스오버 fast=23, slow=52 |
3.8% | -56.3% | 0.28 | 0.07 | 2.6x | 119 | 52% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
1.6% | -25.2% | 0.23 | 0.06 | 1.5x | 26 | 8% |
| Supertrend period=10, mult=4.2 |
2.0% | -69.5% | 0.20 | 0.03 | 1.7x | 111 | 51% |
| ADX / DI 방향성 period=47, threshold=12 |
1.6% | -52.8% | 0.18 | 0.03 | 1.5x | 95 | 27% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=2.9 |
0.8% | -19.2% | 0.17 | 0.04 | 1.2x | 28 | 3% |
| ROC 모멘텀 n=95, threshold=-0.06 |
-0.4% | -67.4% | 0.12 | -0.01 | 0.9x | 221 | 65% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-3.6% | -78.4% | -0.05 | -0.05 | 0.4x | 340 | 50% |
| MACD fast=15, slow=48, signal=13 |
-3.9% | -87.3% | -0.06 | -0.04 | 0.4x | 346 | 51% |
| Buy and hold | 1.5% | -79.6% | 0.22 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 186-day EMA
- Sell — Sell when the 21-day EMA falls below the 186-day EMA