Trend-Following Backtester · Guide · backtest 한국어
equity · JP
PILLAR Corporation backtest
10 trend-following strategies were compared on the full daily history of PILLAR 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 12.1%, MDD -38.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -38.4%, Sharpe 0.56, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 12.1%, MDD -38.4%, exposure 54%).
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=127 |
12.1% | -38.4% | 0.56 | 0.32 | 18.4x | 51 | 54% |
| Donchian 채널 돌파 entryN=93, exitN=38 |
9.4% | -40.4% | 0.50 | 0.23 | 10.0x | 49 | 41% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=18, mult=3.1 |
8.7% | -34.7% | 0.49 | 0.25 | 8.3x | 76 | 36% |
| ADX / DI 방향성 period=33, threshold=12 |
8.7% | -42.9% | 0.48 | 0.20 | 8.4x | 170 | 37% |
| 볼린저 밴드 돌파 n=76, k=1.6 |
7.9% | -44.0% | 0.45 | 0.18 | 7.0x | 88 | 40% |
| EMA 크로스오버 fast=57, slow=187 |
8.9% | -53.8% | 0.45 | 0.17 | 8.9x | 33 | 60% |
| Supertrend period=12, mult=4.6 |
6.8% | -58.0% | 0.38 | 0.12 | 5.4x | 106 | 55% |
| ROC 모멘텀 n=125, threshold=-0.03 |
5.4% | -59.6% | 0.33 | 0.09 | 3.8x | 199 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.5% | -74.5% | 0.26 | 0.05 | 2.4x | 202 | 50% |
| MACD fast=29, slow=78, signal=13 |
2.1% | -64.8% | 0.21 | 0.03 | 1.7x | 238 | 52% |
| Buy and hold | 10.5% | -83.5% | 0.46 | 0.13 | 12.8x | 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 127-day average
- Sell — Sell (to cash) when the 34-day average falls below the 127-day average