Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Horiba, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Horiba, Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.2%, MDD -50.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -50.6%, Sharpe 0.59, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.2%, MDD -50.2%, exposure 86%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 26.8%p (CAGR 14.2%, MDD -50.2%, exposure 86%).
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=28, slow=175 |
13.2% | -50.6% | 0.59 | 0.26 | 23.7x | 47 | 62% |
| ROC 모멘텀 n=69, threshold=-0.14 |
14.2% | -50.2% | 0.58 | 0.28 | 29.6x | 153 | 86% |
| EMA 크로스오버 fast=42, slow=193 |
10.7% | -53.8% | 0.51 | 0.20 | 13.6x | 31 | 64% |
| Donchian 채널 돌파 entryN=75, exitN=48 |
9.0% | -50.1% | 0.48 | 0.18 | 9.1x | 52 | 50% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
3.2% | -20.4% | 0.41 | 0.16 | 2.2x | 22 | 7% |
| Supertrend period=10, mult=5 |
5.9% | -68.0% | 0.35 | 0.09 | 4.3x | 90 | 57% |
| ADX / DI 방향성 period=38, threshold=17 |
4.1% | -51.8% | 0.33 | 0.08 | 2.8x | 66 | 21% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=4 |
2.8% | -50.1% | 0.33 | 0.06 | 2.0x | 30 | 9% |
| Parabolic SAR step=0.015, maxStep=0.02 |
4.9% | -64.2% | 0.31 | 0.08 | 3.4x | 150 | 59% |
| MACD fast=14, slow=48, signal=18 |
2.2% | -66.8% | 0.21 | 0.03 | 1.7x | 302 | 51% |
| Buy and hold | 14.2% | -77.4% | 0.54 | 0.18 | 29.9x | 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 28-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 28-day average falls below the 175-day average