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. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.1%, MDD -46.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.4%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.1%, MDD -46.8%, Sharpe 0.80, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 27.1%, MDD -46.8%, exposure 52%).
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 |
27.1% | -46.8% | 0.80 | 0.58 | 469.9x | 65 | 52% |
| Donchian 채널 돌파 entryN=92, exitN=45 |
23.1% | -60.1% | 0.75 | 0.38 | 207.1x | 36 | 41% |
| EMA 크로스오버 fast=48, slow=67 |
18.4% | -54.9% | 0.62 | 0.33 | 76.1x | 62 | 53% |
| ROC 모멘텀 n=102, threshold=0 |
17.9% | -75.2% | 0.61 | 0.24 | 68.4x | 215 | 54% |
| Supertrend period=21, mult=4.9 |
13.7% | -71.5% | 0.52 | 0.19 | 27.1x | 92 | 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 |
9.2% | -58.3% | 0.44 | 0.16 | 9.6x | 84 | 29% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
8.8% | -67.7% | 0.43 | 0.13 | 8.7x | 80 | 27% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.5% | -87.1% | 0.26 | 0.03 | 1.9x | 404 | 50% |
| MACD fast=9, slow=30, signal=15 |
-3.6% | -84.0% | 0.10 | -0.04 | 0.4x | 441 | 50% |
| Buy and hold | 18.4% | -88.7% | 0.58 | 0.21 | 76.7x | 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