Trend-Following Backtester · Guide · backtest 한국어
equity · JP
THK Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of THK Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -78.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -62.8%, Sharpe 0.37, 55% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.0%, MDD -79.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=33, slow=74 |
6.7% | -62.8% | 0.37 | 0.11 | 5.3x | 85 | 55% |
| Donchian 채널 돌파 entryN=22, exitN=72 |
5.5% | -66.9% | 0.33 | 0.08 | 3.9x | 71 | 75% |
| MACD fast=31, slow=66, signal=40 |
5.1% | -62.2% | 0.32 | 0.08 | 3.6x | 140 | 52% |
| ADX / DI 방향성 period=26, threshold=39 |
1.2% | -11.8% | 0.29 | 0.10 | 1.4x | 4 | 1% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
11.0% | -79.1% | 0.28 | 0.14 | 14.4x | 11 | 100% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
1.9% | -20.0% | 0.26 | 0.10 | 1.6x | 14 | 5% |
| EMA 크로스오버 fast=51, slow=186 |
3.3% | -67.5% | 0.25 | 0.05 | 2.3x | 39 | 53% |
| Supertrend period=20, mult=4.6 |
6.1% | -82.6% | 0.21 | 0.07 | 4.5x | 114 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=2.5 |
1.0% | -65.0% | 0.15 | 0.01 | 1.3x | 118 | 33% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.4% | -97.1% | 0.12 | -0.05 | 0.3x | 448 | 52% |
| Buy and hold | 11.9% | -78.9% | 0.29 | 0.15 | 17.9x | 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 33-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 33-day average falls below the 74-day average