Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toyo Tire Corporation backtest
10 trend-following strategies were compared on the full daily history of Toyo Tire Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -55.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -64.9%, Sharpe 0.49, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 19.5%p (CAGR 9.9%, MDD -55.4%, exposure 70%).
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=51, slow=57 |
10.3% | -64.9% | 0.49 | 0.16 | 12.5x | 183 | 56% |
| Donchian 채널 돌파 entryN=37, exitN=66 |
9.9% | -55.4% | 0.46 | 0.18 | 11.4x | 59 | 70% |
| Supertrend period=17, mult=5 |
9.4% | -53.2% | 0.46 | 0.18 | 10.1x | 88 | 55% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
5.8% | -39.2% | 0.43 | 0.15 | 4.3x | 34 | 15% |
| EMA 크로스오버 fast=16, slow=145 |
7.9% | -59.6% | 0.41 | 0.13 | 7.1x | 74 | 61% |
| ADX / DI 방향성 period=36, threshold=32 |
2.7% | -22.3% | 0.32 | 0.12 | 2.0x | 8 | 4% |
| ROC 모멘텀 n=56, threshold=0 |
4.3% | -64.3% | 0.29 | 0.07 | 2.9x | 303 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=1.8 |
3.4% | -60.5% | 0.26 | 0.06 | 2.4x | 150 | 44% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-3.1% | -76.5% | 0.04 | -0.04 | 0.4x | 578 | 55% |
| MACD fast=13, slow=48, signal=19 |
-4.6% | -83.1% | -0.02 | -0.06 | 0.3x | 306 | 53% |
| Buy and hold | 10.9% | -84.4% | 0.46 | 0.13 | 14.3x | 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 51-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 51-day average falls below the 57-day average