Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Advantest Corp. backtest
10 trend-following strategies were compared on the full daily history of Advantest Corp.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -46.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.1%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -46.7%, Sharpe 0.60, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 15.6%, MDD -46.7%, exposure 54%).
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=7, slow=200 |
15.6% | -46.7% | 0.60 | 0.34 | 47.6x | 65 | 54% |
| EMA 크로스오버 fast=17, slow=171 |
15.5% | -51.0% | 0.60 | 0.30 | 46.5x | 51 | 54% |
| ROC 모멘텀 n=186, threshold=0.06 |
13.1% | -68.2% | 0.54 | 0.19 | 26.4x | 111 | 50% |
| Donchian 채널 돌파 entryN=26, exitN=62 |
12.6% | -77.5% | 0.50 | 0.16 | 23.4x | 73 | 70% |
| 볼린저 밴드 돌파 n=17, k=2.6 |
6.0% | -43.8% | 0.44 | 0.14 | 4.7x | 92 | 12% |
| MACD fast=16, slow=55, signal=14 |
7.6% | -77.4% | 0.39 | 0.10 | 7.1x | 304 | 51% |
| Supertrend period=8, mult=3 |
7.1% | -78.8% | 0.37 | 0.09 | 6.1x | 234 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.9% | -77.5% | 0.31 | 0.06 | 3.6x | 354 | 52% |
| ADX / DI 방향성 period=38, threshold=21 |
3.2% | -46.2% | 0.28 | 0.07 | 2.3x | 36 | 11% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=2 |
3.3% | -77.1% | 0.26 | 0.04 | 2.3x | 166 | 37% |
| Buy and hold | 9.1% | -94.8% | 0.42 | 0.10 | 10.2x | 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 7-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 7-day average falls below the 200-day average