Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SWCC Corporation backtest
10 trend-following strategies were compared on the full daily history of SWCC Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -81.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -72.6%, Sharpe 0.52, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=259 |
12.3% | -72.6% | 0.52 | 0.17 | 19.5x | 23 | 53% |
| EMA 크로스오버 fast=52, slow=184 |
11.5% | -77.0% | 0.50 | 0.15 | 16.3x | 31 | 53% |
| ADX / DI 방향성 period=37, threshold=32 |
3.1% | -15.0% | 0.43 | 0.21 | 2.2x | 6 | 3% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
5.2% | -48.0% | 0.35 | 0.11 | 3.7x | 68 | 26% |
| Donchian 채널 돌파 entryN=87, exitN=35 |
4.9% | -73.3% | 0.31 | 0.07 | 3.4x | 54 | 34% |
| Parabolic SAR step=0.025, maxStep=0.14 |
4.9% | -65.3% | 0.31 | 0.07 | 3.4x | 497 | 50% |
| Supertrend period=26, mult=1.3 |
4.8% | -64.8% | 0.30 | 0.07 | 3.3x | 564 | 51% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=16, mult=3.9 |
3.4% | -63.3% | 0.26 | 0.05 | 2.4x | 60 | 26% |
| ROC 모멘텀 n=144, threshold=0.03 |
2.5% | -78.6% | 0.23 | 0.03 | 1.9x | 253 | 50% |
| MACD fast=18, slow=58, signal=9 |
-0.8% | -78.6% | 0.14 | -0.01 | 0.8x | 337 | 50% |
| Buy and hold | 9.0% | -81.2% | 0.42 | 0.11 | 9.2x | 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 49-day average price crosses above the 259-day average
- Sell — Sell (to cash) when the 49-day average falls below the 259-day average