Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Makita Corporation backtest
10 trend-following strategies were compared on the full daily history of Makita Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -46.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -79.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.3%, MDD -46.4%, Sharpe 0.43, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 33.1%p (CAGR 8.3%, MDD -46.4%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=217 |
8.3% | -46.4% | 0.43 | 0.18 | 7.8x | 33 | 69% |
| SMA 크로스오버 fast=48, slow=211 |
7.0% | -48.7% | 0.38 | 0.14 | 5.6x | 33 | 69% |
| ROC 모멘텀 n=147, threshold=-0.09 |
6.7% | -52.3% | 0.37 | 0.13 | 5.2x | 151 | 77% |
| Donchian 채널 돌파 entryN=28, exitN=69 |
4.8% | -61.0% | 0.31 | 0.08 | 3.3x | 61 | 74% |
| ADX / DI 방향성 period=71, threshold=15 |
2.6% | -23.0% | 0.29 | 0.11 | 1.9x | 12 | 10% |
| Supertrend period=22, mult=5 |
0.6% | -69.7% | 0.15 | 0.01 | 1.2x | 91 | 58% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=22, mult=3.5 |
0.2% | -51.2% | 0.11 | 0.00 | 1.1x | 82 | 32% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
-0.1% | -56.1% | 0.08 | -0.00 | 1.0x | 94 | 30% |
| MACD fast=40, slow=48, signal=30 |
-1.6% | -83.8% | 0.06 | -0.02 | 0.7x | 178 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-7.8% | -90.6% | -0.20 | -0.09 | 0.1x | 218 | 54% |
| Buy and hold | 10.5% | -79.5% | 0.46 | 0.13 | 12.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 217-day EMA
- Sell — Sell when the 27-day EMA falls below the 217-day EMA