Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Heavy Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Heavy Industries, Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -58.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.5%, drawdown -75.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -64.9%, Sharpe 0.51, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.3%, MDD -63.8%, exposure 76%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 10.7%p (CAGR 10.1%, MDD -58.6%, 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=31, slow=81 |
10.3% | -64.9% | 0.51 | 0.16 | 13.6x | 94 | 55% |
| EMA 크로스오버 fast=43, slow=77 |
10.1% | -58.6% | 0.50 | 0.17 | 12.9x | 60 | 54% |
| Donchian 채널 돌파 entryN=15, exitN=47 |
10.3% | -63.8% | 0.48 | 0.16 | 13.7x | 101 | 76% |
| MACD fast=18, slow=51, signal=13 |
7.4% | -55.5% | 0.42 | 0.13 | 6.6x | 297 | 52% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=28, mult=3.6 |
6.1% | -42.3% | 0.42 | 0.14 | 4.8x | 70 | 26% |
| Supertrend period=28, mult=5 |
7.4% | -73.0% | 0.41 | 0.10 | 6.7x | 102 | 53% |
| ROC 모멘텀 n=194, threshold=0.21 |
6.5% | -50.6% | 0.40 | 0.13 | 5.4x | 120 | 30% |
| ADX / DI 방향성 period=16, threshold=34 |
3.5% | -28.0% | 0.39 | 0.13 | 2.5x | 42 | 8% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
3.4% | -23.9% | 0.37 | 0.14 | 2.4x | 26 | 7% |
| Parabolic SAR step=0.015, maxStep=0.22 |
2.0% | -69.6% | 0.20 | 0.03 | 1.7x | 456 | 52% |
| Buy and hold | 9.5% | -75.6% | 0.44 | 0.13 | 11.2x | 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 31-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 31-day average falls below the 81-day average