Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sinfonia Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sinfonia Technology 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 11.7%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -87.0%, Sharpe 0.43, 53% exposure.
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=58, slow=162 |
9.1% | -87.0% | 0.43 | 0.10 | 9.4x | 39 | 53% |
| ADX / DI 방향성 period=26, threshold=24 |
5.2% | -38.4% | 0.37 | 0.13 | 3.6x | 60 | 16% |
| EMA 크로스오버 fast=51, slow=168 |
6.9% | -69.4% | 0.37 | 0.10 | 5.6x | 41 | 51% |
| Donchian 채널 돌파 entryN=97, exitN=69 |
6.5% | -80.2% | 0.36 | 0.08 | 5.0x | 36 | 47% |
| ROC 모멘텀 n=146, threshold=0.11 |
4.2% | -85.4% | 0.29 | 0.05 | 2.8x | 193 | 38% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=1.7 |
2.3% | -72.6% | 0.22 | 0.03 | 1.8x | 202 | 35% |
| Supertrend period=25, mult=2.5 |
1.9% | -84.5% | 0.21 | 0.02 | 1.6x | 276 | 51% |
| MACD fast=8, slow=21, signal=13 |
1.2% | -82.8% | 0.19 | 0.01 | 1.4x | 504 | 50% |
| 볼린저 밴드 돌파 n=21, k=1.6 |
1.4% | -66.7% | 0.18 | 0.02 | 1.4x | 274 | 35% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.9% | -80.7% | 0.12 | -0.01 | 0.8x | 302 | 51% |
| Buy and hold | 11.7% | -78.8% | 0.47 | 0.15 | 17.0x | 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 58-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 58-day average falls below the 162-day average