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 9.8%, MDD -48.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -75.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -48.8%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 9.8%, 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 |
9.8% | -48.8% | 0.51 | 0.20 | 11.0x | 34 | 57% |
| EMA 크로스오버 fast=54, slow=180 |
8.5% | -51.7% | 0.46 | 0.16 | 8.1x | 32 | 58% |
| ROC 모멘텀 n=146, threshold=0.24 |
6.5% | -51.0% | 0.46 | 0.13 | 5.0x | 120 | 25% |
| Donchian 채널 돌파 entryN=115, exitN=72 |
7.2% | -51.1% | 0.44 | 0.14 | 6.0x | 35 | 44% |
| 볼린저 밴드 돌파 n=73, k=3.3 |
4.2% | -33.5% | 0.40 | 0.12 | 2.8x | 19 | 14% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=4 |
3.6% | -38.5% | 0.32 | 0.09 | 2.4x | 54 | 24% |
| ADX / DI 방향성 period=27, threshold=22 |
2.1% | -32.3% | 0.24 | 0.07 | 1.7x | 56 | 16% |
| Supertrend period=16, mult=4.3 |
1.9% | -62.8% | 0.20 | 0.03 | 1.6x | 119 | 62% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-4.0% | -78.7% | -0.06 | -0.05 | 0.4x | 519 | 54% |
| MACD fast=10, slow=18, signal=13 |
-5.6% | -79.7% | -0.13 | -0.07 | 0.2x | 509 | 50% |
| Buy and hold | 10.9% | -75.4% | 0.48 | 0.14 | 14.1x | 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