Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sysmex Corporation backtest
10 trend-following strategies were compared on the full daily history of Sysmex Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -48.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -75.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -48.8%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 9.9%, MDD -48.8%, exposure 57%).
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=275 |
9.9% | -48.8% | 0.51 | 0.20 | 11.3x | 35 | 57% |
| Donchian 채널 돌파 entryN=115, exitN=72 |
8.1% | -51.1% | 0.47 | 0.16 | 7.3x | 35 | 44% |
| EMA 크로스오버 fast=54, slow=180 |
8.7% | -51.7% | 0.46 | 0.17 | 8.4x | 33 | 58% |
| 볼린저 밴드 돌파 n=73, k=3.3 |
5.0% | -33.5% | 0.45 | 0.15 | 3.5x | 19 | 14% |
| ROC 모멘텀 n=146, threshold=0.24 |
6.2% | -53.4% | 0.44 | 0.12 | 4.7x | 125 | 25% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=4 |
3.5% | -38.5% | 0.31 | 0.09 | 2.4x | 55 | 24% |
| ADX / DI 방향성 period=27, threshold=22 |
2.1% | -32.3% | 0.23 | 0.06 | 1.7x | 57 | 16% |
| Supertrend period=16, mult=4.3 |
2.7% | -62.8% | 0.23 | 0.04 | 2.0x | 119 | 62% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-3.2% | -78.7% | -0.02 | -0.04 | 0.4x | 519 | 54% |
| MACD fast=10, slow=18, signal=13 |
-5.8% | -81.2% | -0.14 | -0.07 | 0.2x | 512 | 50% |
| Buy and hold | 11.8% | -75.4% | 0.50 | 0.16 | 17.4x | 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 275-day average
- Sell — Sell (to cash) when the 28-day average falls below the 275-day average