Trend-Following Backtester · Guide · backtest 한국어
equity · JP
santec Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of santec Holdings Corporation. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 12.5%, drawdown -96.5%).
Sharpe leader (same as main): MACD — CAGR 6.3%, MDD -94.8%, Sharpe 0.45, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.6%, MDD -91.9%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=45, signal=23 |
6.3% | -94.8% | 0.45 | 0.07 | 4.4x | 214 | 52% |
| 볼린저 밴드 돌파 n=22, k=1.9 |
2.0% | -94.6% | 0.36 | 0.02 | 1.6x | 218 | 31% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-0.5% | -95.8% | 0.31 | -0.01 | 0.9x | 408 | 47% |
| Donchian 채널 돌파 entryN=13, exitN=78 |
9.8% | -96.6% | 0.30 | 0.10 | 9.7x | 74 | 82% |
| SMA 크로스오버 fast=26, slow=54 |
13.6% | -91.9% | 0.30 | 0.15 | 22.6x | 126 | 50% |
| EMA 크로스오버 fast=37, slow=42 |
13.4% | -94.3% | 0.30 | 0.14 | 21.3x | 84 | 48% |
| ROC 모멘텀 n=51, threshold=-0.03 |
9.7% | -95.7% | 0.29 | 0.10 | 9.5x | 360 | 57% |
| Supertrend period=16, mult=2.7 |
-2.3% | -98.4% | 0.28 | -0.02 | 0.6x | 198 | 48% |
| ADX / DI 방향성 period=8, threshold=24 |
-2.6% | -96.1% | 0.26 | -0.03 | 0.5x | 452 | 39% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=1.5 |
6.1% | -96.7% | 0.25 | 0.06 | 4.2x | 180 | 35% |
| Buy and hold | 12.5% | -96.5% | 0.33 | 0.13 | 17.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/45) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line