Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yokogawa Electric Corp. backtest
10 trend-following strategies were compared on the full daily history of Yokogawa Electric Corp.. 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 8.3%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -57.7%, Sharpe 0.33, 57% 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=57, slow=92 |
5.4% | -57.7% | 0.33 | 0.09 | 4.1x | 75 | 57% |
| Donchian 채널 돌파 entryN=11, exitN=124 |
5.1% | -81.6% | 0.32 | 0.06 | 3.7x | 63 | 89% |
| EMA 크로스오버 fast=36, slow=76 |
2.2% | -56.9% | 0.22 | 0.04 | 1.8x | 73 | 59% |
| MACD fast=40, slow=51, signal=20 |
2.2% | -65.2% | 0.21 | 0.03 | 1.8x | 203 | 51% |
| Supertrend period=13, mult=4.7 |
2.0% | -60.7% | 0.20 | 0.03 | 1.7x | 119 | 52% |
| ROC 모멘텀 n=147, threshold=-0.02 |
1.4% | -62.9% | 0.19 | 0.02 | 1.4x | 185 | 62% |
| ADX / DI 방향성 period=38, threshold=27 |
0.5% | -11.3% | 0.18 | 0.05 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.9% | -68.5% | 0.16 | 0.01 | 1.3x | 225 | 53% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
1.2% | -47.6% | 0.16 | 0.03 | 1.4x | 48 | 18% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=3.9 |
-1.2% | -63.5% | 0.01 | -0.02 | 0.7x | 74 | 22% |
| Buy and hold | 8.3% | -86.3% | 0.40 | 0.10 | 8.3x | 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 57-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 57-day average falls below the 92-day average