Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Musashi Seimitsu Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Musashi Seimitsu Industry Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -81.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -69.0%, Sharpe 0.35, 55% exposure.
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=46, slow=92 |
6.3% | -69.0% | 0.35 | 0.09 | 3.9x | 61 | 55% |
| Supertrend period=17, mult=5 |
4.7% | -68.8% | 0.31 | 0.07 | 2.8x | 74 | 54% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
2.8% | -47.6% | 0.25 | 0.06 | 1.8x | 16 | 6% |
| ROC 모멘텀 n=28, threshold=-0.09 |
1.9% | -78.0% | 0.24 | 0.02 | 1.5x | 274 | 81% |
| EMA 크로스오버 fast=28, slow=55 |
2.2% | -64.6% | 0.23 | 0.03 | 1.6x | 92 | 55% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.2% | -76.1% | 0.23 | 0.03 | 1.6x | 174 | 53% |
| Donchian 채널 돌파 entryN=20, exitN=73 |
1.0% | -76.2% | 0.22 | 0.01 | 1.3x | 67 | 79% |
| MACD fast=47, slow=67, signal=24 |
1.3% | -81.0% | 0.20 | 0.02 | 1.3x | 152 | 51% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=24, mult=3.9 |
1.2% | -56.3% | 0.15 | 0.02 | 1.3x | 28 | 6% |
| ADX / DI 방향성 period=17, threshold=44 |
0.3% | -14.8% | 0.09 | 0.02 | 1.1x | 4 | 1% |
| Buy and hold | 5.7% | -81.1% | 0.35 | 0.07 | 3.4x | 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 46-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 46-day average falls below the 92-day average