Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ROHM Company Limited backtest
10 trend-following strategies were compared on the full daily history of ROHM Company Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -35.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -91.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -54.9%, Sharpe 0.41, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 3.4%, MDD -35.5%, exposure 16%).
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=20, slow=137 |
7.1% | -54.9% | 0.41 | 0.13 | 5.8x | 53 | 46% |
| ROC 모멘텀 n=121, threshold=0.12 |
5.8% | -54.0% | 0.38 | 0.11 | 4.3x | 157 | 30% |
| Donchian 채널 돌파 entryN=128, exitN=75 |
5.1% | -64.9% | 0.33 | 0.08 | 3.6x | 27 | 38% |
| EMA 크로스오버 fast=25, slow=121 |
5.3% | -67.4% | 0.33 | 0.08 | 3.7x | 53 | 45% |
| ADX / DI 방향성 period=35, threshold=17 |
3.4% | -35.5% | 0.29 | 0.10 | 2.4x | 72 | 16% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
0.8% | -51.8% | 0.14 | 0.02 | 1.2x | 72 | 25% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=2.4 |
0.6% | -68.6% | 0.13 | 0.01 | 1.2x | 114 | 30% |
| Supertrend period=29, mult=5 |
-2.1% | -83.4% | 0.05 | -0.02 | 0.6x | 102 | 46% |
| MACD fast=40, slow=51, signal=20 |
-3.1% | -88.8% | 0.01 | -0.04 | 0.4x | 214 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-9.3% | -96.5% | -0.23 | -0.10 | 0.1x | 528 | 52% |
| Buy and hold | -1.1% | -91.3% | 0.16 | -0.01 | 0.7x | 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 20-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 20-day average falls below the 137-day average