Trend-Following Backtester · Guide · backtest 한국어
equity · JP
OMRON Corporation backtest
10 trend-following strategies were compared on the full daily history of OMRON Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.4%, MDD -48.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -73.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -56.8%, Sharpe 0.37, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 5.4%, MDD -48.1%, exposure 48%).
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=58, slow=169 |
6.2% | -56.8% | 0.37 | 0.11 | 4.7x | 29 | 55% |
| SMA 크로스오버 fast=27, slow=178 |
5.5% | -56.6% | 0.34 | 0.10 | 4.0x | 43 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=28 |
5.4% | -48.1% | 0.34 | 0.11 | 3.8x | 83 | 48% |
| ROC 모멘텀 n=134, threshold=-0.03 |
2.5% | -62.2% | 0.23 | 0.04 | 1.9x | 221 | 61% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=15, mult=2.7 |
1.2% | -53.4% | 0.16 | 0.02 | 1.4x | 95 | 36% |
| ADX / DI 방향성 period=40, threshold=18 |
0.9% | -32.2% | 0.14 | 0.03 | 1.2x | 26 | 9% |
| 볼린저 밴드 돌파 n=57, k=2 |
-0.2% | -53.4% | 0.08 | -0.00 | 0.9x | 93 | 32% |
| Supertrend period=24, mult=4.3 |
-1.1% | -74.3% | 0.08 | -0.02 | 0.7x | 133 | 53% |
| MACD fast=51, slow=54, signal=27 |
-1.5% | -74.2% | 0.06 | -0.02 | 0.7x | 161 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.6% | -87.9% | -0.16 | -0.07 | 0.2x | 213 | 52% |
| Buy and hold | 4.0% | -73.1% | 0.29 | 0.05 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 169-day EMA
- Sell — Sell when the 58-day EMA falls below the 169-day EMA