Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yokohama Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yokohama Financial Group, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -31.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.2%, drawdown -63.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.4%, MDD -43.3%, Sharpe 0.62, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 12.0%, MDD -31.1%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=255, threshold=-0.07 |
13.4% | -43.3% | 0.62 | 0.31 | 3.7x | 21 | 70% |
| 볼린저 밴드 돌파 n=26, k=1.9 |
9.6% | -31.1% | 0.60 | 0.31 | 2.6x | 72 | 37% |
| SMA 크로스오버 fast=21, slow=125 |
12.0% | -31.1% | 0.59 | 0.39 | 3.3x | 25 | 59% |
| EMA 크로스오버 fast=57, slow=159 |
12.2% | -42.8% | 0.58 | 0.28 | 3.3x | 15 | 70% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
11.1% | -54.2% | 0.52 | 0.20 | 3.0x | 21 | 83% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=2.6 |
6.0% | -32.1% | 0.42 | 0.19 | 1.8x | 37 | 38% |
| Supertrend period=23, mult=3.8 |
6.9% | -47.6% | 0.41 | 0.14 | 2.0x | 47 | 59% |
| MACD fast=18, slow=47, signal=11 |
6.1% | -45.8% | 0.38 | 0.13 | 1.9x | 126 | 53% |
| ADX / DI 방향성 period=18, threshold=36 |
1.7% | -11.0% | 0.30 | 0.15 | 1.2x | 10 | 4% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.2% | -48.0% | 0.12 | 0.00 | 1.0x | 169 | 53% |
| Buy and hold | 13.2% | -63.1% | 0.55 | 0.21 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 255-day return is greater than -7%
- Sell — Sell when the 255-day return drops to -7% or below