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 7.9%, drawdown -81.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -72.6%, Sharpe 0.49, 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 |
11.1% | -72.6% | 0.49 | 0.15 | 14.8x | 23 | 53% |
| EMA 크로스오버 fast=52, slow=184 |
10.3% | -77.0% | 0.46 | 0.13 | 12.4x | 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% |
| Supertrend period=26, mult=1.3 |
4.3% | -64.8% | 0.29 | 0.07 | 2.9x | 562 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
4.0% | -65.3% | 0.28 | 0.06 | 2.7x | 494 | 50% |
| 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 |
1.4% | -78.6% | 0.20 | 0.02 | 1.4x | 252 | 50% |
| MACD fast=18, slow=58, signal=9 |
-1.6% | -78.6% | 0.11 | -0.02 | 0.7x | 336 | 50% |
| Buy and hold | 7.9% | -81.2% | 0.39 | 0.10 | 7.0x | 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