Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hitachi, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hitachi, Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.6%, MDD -38.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.3%, drawdown -86.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -40.4%, Sharpe 0.46, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 6.6%, MDD -38.5%, 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=17, slow=218 |
8.5% | -40.4% | 0.46 | 0.21 | 8.7x | 35 | 58% |
| EMA 크로스오버 fast=50, slow=181 |
7.3% | -43.8% | 0.41 | 0.17 | 6.6x | 29 | 59% |
| Supertrend period=22, mult=4.6 |
6.6% | -38.5% | 0.39 | 0.17 | 5.5x | 103 | 57% |
| Donchian 채널 돌파 entryN=109, exitN=20 |
3.9% | -46.9% | 0.32 | 0.08 | 2.7x | 64 | 28% |
| 볼린저 밴드 돌파 n=101, k=1.9 |
4.0% | -44.5% | 0.31 | 0.09 | 2.9x | 57 | 35% |
| ROC 모멘텀 n=152, threshold=-0.03 |
4.4% | -64.7% | 0.30 | 0.07 | 3.1x | 177 | 62% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=25, mult=2.9 |
3.6% | -37.8% | 0.29 | 0.10 | 2.6x | 86 | 37% |
| ADX / DI 방향성 period=22, threshold=34 |
0.4% | -15.6% | 0.10 | 0.02 | 1.1x | 12 | 3% |
| MACD fast=14, slow=59, signal=17 |
-0.6% | -82.1% | 0.09 | -0.01 | 0.8x | 317 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.9% | -82.1% | 0.08 | -0.01 | 0.8x | 221 | 53% |
| Buy and hold | 4.3% | -86.4% | 0.30 | 0.05 | 3.1x | 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 17-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 17-day average falls below the 218-day average