Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SMC Corporation backtest
10 trend-following strategies were compared on the full daily history of SMC Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -42.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -42.4%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 6.6%, MDD -42.4%, 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=34, slow=201 |
6.6% | -42.4% | 0.39 | 0.15 | 5.1x | 33 | 57% |
| EMA 크로스오버 fast=50, slow=170 |
5.4% | -46.1% | 0.34 | 0.12 | 3.9x | 33 | 59% |
| Donchian 채널 돌파 entryN=73, exitN=40 |
1.9% | -51.9% | 0.20 | 0.04 | 1.6x | 53 | 42% |
| ADX / DI 방향성 period=30, threshold=32 |
0.5% | -10.3% | 0.15 | 0.05 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=135, threshold=0 |
-1.6% | -75.0% | 0.06 | -0.02 | 0.7x | 237 | 58% |
| 볼린저 밴드 돌파 n=51, k=2.5 |
-0.5% | -39.1% | 0.04 | -0.01 | 0.9x | 62 | 21% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=4 |
-0.8% | -48.1% | 0.02 | -0.02 | 0.8x | 58 | 22% |
| Supertrend period=31, mult=5 |
-3.2% | -75.7% | -0.01 | -0.04 | 0.4x | 97 | 54% |
| MACD fast=7, slow=31, signal=17 |
-8.0% | -91.8% | -0.21 | -0.09 | 0.1x | 458 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-10.1% | -94.7% | -0.30 | -0.11 | 0.1x | 221 | 54% |
| Buy and hold | 6.3% | -61.4% | 0.35 | 0.10 | 4.8x | 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 34-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 34-day average falls below the 201-day average