Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ushio Inc. backtest
10 trend-following strategies were compared on the full daily history of Ushio Inc.. 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 2.8%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.6%, MDD -63.1%, Sharpe 0.18, 51% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.6%, MDD -39.8%, exposure 21%.
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=22, slow=209 |
1.6% | -63.1% | 0.18 | 0.02 | 1.5x | 49 | 51% |
| 볼린저 밴드 돌파 n=75, k=2.7 |
1.6% | -39.8% | 0.18 | 0.04 | 1.5x | 44 | 21% |
| EMA 크로스오버 fast=46, slow=144 |
0.9% | -67.5% | 0.15 | 0.01 | 1.3x | 49 | 52% |
| Donchian 채널 돌파 entryN=27, exitN=65 |
-0.5% | -83.8% | 0.12 | -0.01 | 0.9x | 73 | 70% |
| ADX / DI 방향성 period=18, threshold=37 |
0.2% | -11.5% | 0.07 | 0.02 | 1.1x | 14 | 2% |
| MACD fast=31, slow=52, signal=23 |
-3.2% | -75.3% | -0.01 | -0.04 | 0.4x | 206 | 52% |
| ROC 모멘텀 n=133, threshold=0.02 |
-3.2% | -79.2% | -0.04 | -0.04 | 0.4x | 279 | 48% |
| Supertrend period=40, mult=4.6 |
-4.3% | -90.2% | -0.07 | -0.05 | 0.3x | 112 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=3.2 |
-3.4% | -73.6% | -0.11 | -0.05 | 0.4x | 94 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.1% | -93.1% | -0.24 | -0.09 | 0.1x | 212 | 51% |
| Buy and hold | 2.8% | -73.4% | 0.25 | 0.04 | 2.0x | 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 22-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 22-day average falls below the 209-day average