Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Maruichi Steel Tube Ltd. backtest
10 trend-following strategies were compared on the full daily history of Maruichi Steel Tube Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -63.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.4%, MDD -51.9%, Sharpe 0.32, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=98, slow=372 |
4.4% | -51.9% | 0.32 | 0.08 | 3.0x | 17 | 53% |
| SMA 크로스오버 fast=48, slow=278 |
4.0% | -52.5% | 0.30 | 0.08 | 2.7x | 31 | 54% |
| Donchian 채널 돌파 entryN=96, exitN=79 |
1.7% | -70.0% | 0.18 | 0.02 | 1.5x | 37 | 47% |
| ADX / DI 방향성 period=20, threshold=37 |
0.2% | -9.3% | 0.10 | 0.02 | 1.1x | 10 | 1% |
| ROC 모멘텀 n=194, threshold=-0.04 |
-1.7% | -78.9% | 0.02 | -0.02 | 0.6x | 241 | 65% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
-0.8% | -46.0% | -0.03 | -0.02 | 0.8x | 49 | 16% |
| Supertrend period=5, mult=5 |
-3.1% | -71.8% | -0.07 | -0.04 | 0.4x | 99 | 57% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=4 |
-0.9% | -35.6% | -0.10 | -0.03 | 0.8x | 28 | 6% |
| MACD fast=14, slow=35, signal=17 |
-5.6% | -83.5% | -0.21 | -0.07 | 0.2x | 356 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-6.3% | -88.1% | -0.24 | -0.07 | 0.2x | 219 | 52% |
| Buy and hold | 4.9% | -63.5% | 0.31 | 0.08 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 98-day EMA crosses above the 372-day EMA
- Sell — Sell when the 98-day EMA falls below the 372-day EMA