Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mebuki Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mebuki Financial Group, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.6%, MDD -28.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.3%, drawdown -71.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.7%, MDD -35.7%, Sharpe 0.67, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 11.6%, MDD -28.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=158 |
13.7% | -35.7% | 0.67 | 0.38 | 5.0x | 21 | 60% |
| SMA 크로스오버 fast=9, slow=160 |
13.2% | -36.9% | 0.65 | 0.36 | 4.8x | 23 | 60% |
| Supertrend period=29, mult=4.9 |
11.6% | -28.1% | 0.62 | 0.41 | 4.0x | 31 | 56% |
| ROC 모멘텀 n=107, threshold=-0.08 |
10.8% | -68.6% | 0.54 | 0.16 | 3.7x | 67 | 73% |
| Donchian 채널 돌파 entryN=46, exitN=22 |
7.4% | -33.5% | 0.49 | 0.22 | 2.5x | 39 | 41% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
4.4% | -18.7% | 0.42 | 0.24 | 1.7x | 20 | 18% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=28, mult=2.2 |
5.3% | -42.4% | 0.38 | 0.13 | 1.9x | 45 | 41% |
| MACD fast=13, slow=55, signal=22 |
0.8% | -54.8% | 0.14 | 0.01 | 1.1x | 144 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.4% | -57.5% | 0.09 | -0.01 | 0.9x | 103 | 55% |
| ADX / DI 방향성 period=30, threshold=12 |
-2.0% | -41.6% | -0.03 | -0.05 | 0.8x | 113 | 37% |
| Buy and hold | 10.3% | -71.2% | 0.48 | 0.14 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 158-day EMA
- Sell — Sell when the 13-day EMA falls below the 158-day EMA