Trend-Following Backtester · Guide · backtest 한국어
equity · JP
CyberAgent Incorporated backtest
10 trend-following strategies were compared on the full daily history of CyberAgent Incorporated. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.6%, MDD -46.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.8%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.6%, MDD -46.8%, Sharpe 0.81, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 27.6%, MDD -46.8%, exposure 51%).
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=37, slow=90 |
27.6% | -46.8% | 0.81 | 0.59 | 504.8x | 65 | 51% |
| Donchian 채널 돌파 entryN=92, exitN=45 |
24.0% | -60.1% | 0.77 | 0.40 | 242.5x | 35 | 41% |
| EMA 크로스오버 fast=48, slow=67 |
18.9% | -54.9% | 0.63 | 0.34 | 83.5x | 61 | 53% |
| ROC 모멘텀 n=102, threshold=0 |
18.6% | -75.2% | 0.63 | 0.25 | 78.8x | 213 | 54% |
| Supertrend period=21, mult=4.9 |
14.5% | -71.5% | 0.54 | 0.20 | 31.8x | 91 | 52% |
| ADX / DI 방향성 period=37, threshold=20 |
9.4% | -57.4% | 0.47 | 0.16 | 10.0x | 46 | 14% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3.4 |
9.9% | -58.3% | 0.46 | 0.17 | 11.2x | 83 | 29% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
9.5% | -67.7% | 0.45 | 0.14 | 10.2x | 79 | 27% |
| Parabolic SAR step=0.015, maxStep=0.26 |
3.1% | -85.6% | 0.27 | 0.04 | 2.2x | 403 | 50% |
| MACD fast=9, slow=30, signal=15 |
-3.6% | -83.9% | 0.10 | -0.04 | 0.4x | 439 | 50% |
| Buy and hold | 18.8% | -88.7% | 0.59 | 0.21 | 82.4x | 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 37-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 37-day average falls below the 90-day average