Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Miura Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Miura Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -45.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -45.5%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 15.8%p (CAGR 6.4%, MDD -45.5%, exposure 57%).
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=30, slow=196 |
6.4% | -45.5% | 0.39 | 0.14 | 4.9x | 37 | 57% |
| EMA 크로스오버 fast=38, slow=188 |
6.2% | -43.6% | 0.39 | 0.14 | 4.7x | 31 | 57% |
| Donchian 채널 돌파 entryN=121, exitN=73 |
4.6% | -49.7% | 0.33 | 0.09 | 3.2x | 30 | 48% |
| ROC 모멘텀 n=139, threshold=0.02 |
2.9% | -49.7% | 0.24 | 0.06 | 2.1x | 206 | 55% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
1.0% | -18.9% | 0.20 | 0.05 | 1.3x | 20 | 4% |
| Supertrend period=11, mult=4 |
1.3% | -65.2% | 0.17 | 0.02 | 1.4x | 116 | 56% |
| ADX / DI 방향성 period=23, threshold=37 |
0.1% | -2.7% | 0.15 | 0.06 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=3.1 |
-0.5% | -35.9% | 0.03 | -0.01 | 0.9x | 88 | 24% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.9% | -76.4% | -0.03 | -0.04 | 0.5x | 437 | 53% |
| MACD fast=13, slow=44, signal=17 |
-5.2% | -77.1% | -0.16 | -0.07 | 0.3x | 357 | 51% |
| Buy and hold | 7.3% | -61.3% | 0.38 | 0.12 | 6.1x | 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 30-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 30-day average falls below the 196-day average